Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
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Publication:4442962
DOI10.1137/S0363012901399337zbMath1090.91045OpenAlexW2022729976MaRDI QIDQ4442962
Publication date: 8 January 2004
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012901399337
Dynamic programming in optimal control and differential games (49L20) Nonlinear parabolic equations (35K55) Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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