Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps
type: Item
instance of: scholarly article
title: Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps
zbMATH Open document ID: 1418.91474
author: Hiroaki Hata
author: Jun Sekine
published in: Asia-Pacific Financial Markets
publication date: 2018-12-03T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6987746
zbMATH Keywords: risk-sensitive asset management
zbMATH Keywords: Wishart autoregressive jump-diffusion factor
zbMATH Keywords: Riccati differential equation
MaRDI profile type: Publication
full work available at URL: s10690-017-9231-4
OpenAlex ID: W2753539222
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DOI: 10.1007/S10690-017-9231-4
description: scientific article; zbMATH DE number 6987746