Risk‐sensitive benchmarked asset management with expert forecasts
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Publication:6054376
DOI10.1111/mafi.12310zbMath1522.91216OpenAlexW3164738250MaRDI QIDQ6054376
Mark H. A. Davis, Sébastien Lleo
Publication date: 28 September 2023
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12310
Kalman filterKelly criterionbenchmarkrisk-sensitive stochastic controlexpert opinionsactive management
Related Items (4)
KELLY TRADING AND MARKET EQUILIBRIUM ⋮ Discrete‐time risk sensitive portfolio optimization with proportional transaction costs ⋮ An optimal portfolio and consumption problem with a benchmark and partial information ⋮ Robust risk‐sensitive control
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