Long Time Asymptotics for Optimal Investment
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Publication:4560343
DOI10.1007/978-3-319-11605-1_18zbMath1418.91486arXiv1408.6455OpenAlexW2124081559MaRDI QIDQ4560343
Publication date: 11 December 2018
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1408.6455
risk-sensitive control problemsHamilton-Jacobi-Bellman equationslarge deviationsrisk-sensitive controllarge-time asymptoticlong-term investmentergodic HJB equation
Related Items (3)
Discrete‐time risk sensitive portfolio optimization with proportional transaction costs ⋮ Asymptotics of impulse control problem with multiplicative reward ⋮ LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH
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