Dynamic Limit Growth Indices in Discrete Time
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Publication:3194564
DOI10.1080/15326349.2015.1053616zbMath1338.91158arXiv1312.1006OpenAlexW2111488391MaRDI QIDQ3194564
Igor Cialenco, Marcin Pitera, Tomasz R. Bielecki
Publication date: 20 October 2015
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1312.1006
Kelly criterionrisk-sensitive controlentropic risk measuremeasure of performancedynamic time consistencyrisk-sensitive criteriadynamic acceptability indexdynamic assessment indexdynamic limit growth index
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Related Items (4)
Long run risk sensitive portfolio with general factors ⋮ Dynamic Conic Finance via Backward Stochastic Difference Equations ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time
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