Risk-Sensitive ICAPM With Application to Fixed-Income Management

DOI10.1109/TAC.2004.824470zbMath1366.91164MaRDI QIDQ5273713

Tomasz R. Bielecki, Stanley R. Pliska

Publication date: 12 July 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)

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