Risk-Sensitive Portfolio Optimization With Completely and Partially Observed Factors
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Publication:5273717
DOI10.1109/TAC.2004.824476zbMath1366.91146MaRDI QIDQ5273717
Publication date: 12 July 2017
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Markov and semi-Markov decision processes (90C40) Functional limit theorems; invariance principles (60F17) Portfolio theory (91G10)
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