Risk-sensitive investment in a finite-factor model

DOI10.1080/17442508.2016.1139115zbMath1411.91474arXiv1407.5278OpenAlexW2338763512MaRDI QIDQ2974857

Mark H. A. Davis, Sébastien Lleo, Grzegorz Andruszkiewicz

Publication date: 11 April 2017

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.5278

zbMATH Keywords

portfolio optimizationrisk-sensitive controlfactor modelexponential martingale

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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