{"entities":{"Q854287":{"pageid":856135,"ns":120,"title":"Item:Q854287","lastrevid":64881306,"modified":"2026-04-11T22:51:19Z","type":"item","id":"Q854287","labels":{"en":{"language":"en","value":"A risk-sensitive stochastic control approach to an optimal investment problem with partial information"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 5079147"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$E41D9422-6DA6-4491-8FB3-468C5A5CEDFB","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"745f1cb082007fbd14a1990d60d88b6d29a7c6de","datavalue":{"value":{"text":"A risk-sensitive stochastic control approach to an optimal investment problem with partial information","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q854287$4B01FCDB-B686-439A-AC71-B6E6B58C94E8","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"619c42f7831c2205567259b00ccaf9c00df58d56","datavalue":{"value":"1101.91037","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q854287$95F9AF4A-66FB-4FA2-AD3B-D51DEE3A8A55","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"241944b650b7f2eb3b44ba30ad507ce9c43689b1","datavalue":{"value":{"entity-type":"item","numeric-id":607783,"id":"Q607783"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$60C15618-01BA-4F87-A2BC-85BAF937078A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"fc2d0fc9f0095142f29a30afebd72a78bf42738f","datavalue":{"value":{"entity-type":"item","numeric-id":854286,"id":"Q854286"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$DFD9F976-2FD7-4679-B5E2-ED8836786C53","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"fc3cbe8cf287fdb2a81bc60a8afce4592cfe9e54","datavalue":{"value":{"entity-type":"item","numeric-id":135345,"id":"Q135345"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$AA2357AD-545E-4628-A05C-BC108DAAC3E5","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"ad2ea4a3ca258ba9eeea92defad5aa62132095b1","datavalue":{"value":{"time":"+2006-12-08T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q854287$75BD7875-95BC-49B3-BB3D-5E78B6A25290","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"4a8491eaf75b972e916f510ac7e7fa2e8c7efdd0","datavalue":{"value":"The authors study an infinite time horizon optimal investment problem where an investor tries to maximize the probability of beating a given index. Mathematically this optimal investment problem is formulated as a large deviation control problem. The market model considered consists of one riskless, one risky asset, and one factor process modeling an economic factor (e.g., dividend yields, inflation rate, unemployment rates, etc). Strategies are chosen in such a way that the investor observes only past information of a risky asset. The dual problem, which is equivalent to an ergodic risk-sensitive stochastic control problem with partial information, is deduced. A solution is constructed by using a solution of an algebraic Riccati equation, which is the limit equation derived from a finite time horizon problem with partial information. As a result, explicit representations of the value function and the optimal strategy for the problem are obtained.","type":"string"},"datatype":"string"},"type":"statement","id":"Q854287$C782C2AE-13E6-4A9A-B393-926DF1850707","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"fe109cf65b5e526b78e778f4289ef05f064c0043","datavalue":{"value":{"entity-type":"item","numeric-id":590139,"id":"Q590139"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$D80B7D07-EF2A-48BB-A0DB-F419533BEF34","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"7b600a0bd525a05fa571487b461fe5ba90ad6e5d","datavalue":{"value":"91B28","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q854287$BB30F5C1-6407-40D6-A51A-FC96D7993063","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"19887720c9f9a189dd61bc85aa051ea9f0a2325d","datavalue":{"value":"93E11","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q854287$BA52B4C0-F7C1-43E7-9AB3-20D5F2EA6F35","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"e3bc6c7cda8279d6ad2b578e7a7e4967447c3cc4","datavalue":{"value":"93E20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q854287$B4EE6D64-8DD4-4636-A856-C4F387B59FC7","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"0e86719798d370db1f7d4bb82ec68c47b1756690","datavalue":{"value":"5079147","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q854287$EF602071-C700-4595-B06E-324EFCD3ABE4","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"72f4b01f25cd1d63e30141b34aa4c233ed314405","datavalue":{"value":"large deviations","type":"string"},"datatype":"string"},"type":"statement","id":"Q854287$266A7381-56BF-4FCF-BF0E-724537A67D02","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"56ba9028feeb01c07f0a41512cd6252a84991338","datavalue":{"value":"risk-sensitive control","type":"string"},"datatype":"string"},"type":"statement","id":"Q854287$3AE599BC-DC5B-4F22-A114-65E3E47B1F60","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"82e9543e86c9045682da1a347d7296b8289df138","datavalue":{"value":"optimal investment","type":"string"},"datatype":"string"},"type":"statement","id":"Q854287$82C085F2-E63C-43DF-8C6B-1787224C773D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"95d3268d4acf1bd9720ac1c002455a06c6001a04","datavalue":{"value":"infinite time horizon","type":"string"},"datatype":"string"},"type":"statement","id":"Q854287$BF4DBF6E-346A-4BE8-B146-2790A53892F0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"5e20402354069a8eb017132b31d371122d76e96c","datavalue":{"value":"partial information","type":"string"},"datatype":"string"},"type":"statement","id":"Q854287$EB23FADD-2FC2-4985-8FB9-1C6742C637F2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"04033fea0920328fb5b5813d0439c3de2d248dde","datavalue":{"value":"Riccati equation","type":"string"},"datatype":"string"},"type":"statement","id":"Q854287$56CB8DBD-B4D6-43B3-83F2-6B9F467F5C14","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$B9A6D930-5497-4A27-8856-BC24DFAEDB95","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"c0360033f37e979d7916cd648af1ff7e9fdca3ca","datavalue":{"value":"https://doi.org/10.1007/s00780-006-0010-8","type":"string"},"datatype":"url"},"type":"statement","id":"Q854287$8EF7FD9F-570D-412A-90C4-AACDC9A542A0","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"15481a43de1f5c64bfa28bbdc5d7320526d1a299","datavalue":{"value":"W1972689466","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q854287$68468F2C-FCF3-44DB-977F-7AF013208FAB","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"ee9201074018a973bb61e9ce42ef7f784a453be6","datavalue":{"value":{"entity-type":"item","numeric-id":3997913,"id":"Q3997913"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$E38F112C-3A12-465B-B1A8-43BF0DB346BA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"5100503f0c4956e1742a7f07a6ee0eddfee30089","datavalue":{"value":{"entity-type":"item","numeric-id":1288988,"id":"Q1288988"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$A03786AD-F73E-4665-B26B-FB837C6CA3E0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"52cf85fb0a7a7b3836643df3b664ec80777714a7","datavalue":{"value":{"entity-type":"item","numeric-id":5273713,"id":"Q5273713"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$85D07D96-5698-4DD1-894E-9ABAC8999A8C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ef425f9bc73fc58a2d978bebac8737fe1450cb1c","datavalue":{"value":{"entity-type":"item","numeric-id":5562423,"id":"Q5562423"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$74467574-7D61-401A-8571-B213E504D59A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"165b7a45e9f3ca25a7e89f5f5f7e5e11a02eb597","datavalue":{"value":{"entity-type":"item","numeric-id":4391441,"id":"Q4391441"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$807081CC-660C-40E1-8E60-C4AE15FDE024","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"8987c3558f7d873cec5273fc3e0797170e8ab2ea","datavalue":{"value":{"entity-type":"item","numeric-id":4086303,"id":"Q4086303"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$6041BCAB-E9FD-4DAF-88E9-9427FB6E3458","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"cc70c451e1f23a13dbd0e09d801c88a37bd6f5ab","datavalue":{"value":{"entity-type":"item","numeric-id":1578591,"id":"Q1578591"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$3AED6BF2-364B-44CC-92B3-A0B7308FC3A8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"19992824892d682a5af65c2255c7e26661f6e213","datavalue":{"value":{"entity-type":"item","numeric-id":2707143,"id":"Q2707143"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$66FF51D1-DD93-4C08-8D4A-59EBBA595FD2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"edbfc25d569e723bf2e579f19086c5252074c2b9","datavalue":{"value":{"entity-type":"item","numeric-id":1872384,"id":"Q1872384"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$CD3914C3-4BA1-45DD-BC92-455D2A3B7549","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"654ee68b9de6d4ee28d4b9bcf0fd2be4824b1b9c","datavalue":{"value":{"entity-type":"item","numeric-id":3911791,"id":"Q3911791"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$D0862D00-9E77-430C-9C94-969FDB3611B2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"5212252aa051c5ebed2701d55e23eb9e69b5c996","datavalue":{"value":{"entity-type":"item","numeric-id":854287,"id":"Q854287"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$38E052B6-C0CE-462D-B12B-D20B889E8EA5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"07134c95d61e589a18459fd7e66e7d4585d561ac","datavalue":{"value":{"entity-type":"item","numeric-id":4799385,"id":"Q4799385"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$7999BEC4-6111-47B7-9FD8-6A0C44D6EA99","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"906ebc40441b306c3aab49a46c3b4aae953ba2fd","datavalue":{"value":{"entity-type":"item","numeric-id":4874942,"id":"Q4874942"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$F6767B36-A1D8-40D5-B36E-4514BBE158BD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"c6556f6258c39ea84bd66ad70ff5bb1fccd994dd","datavalue":{"value":{"entity-type":"item","numeric-id":3158931,"id":"Q3158931"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$4337AEDC-E8DA-486B-89CF-D04F4DB52D1E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9127805d9b36e7dc23a7f8d1dbef9b748f1524f4","datavalue":{"value":{"entity-type":"item","numeric-id":1872428,"id":"Q1872428"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$CF975A52-A2F2-4637-A9AD-BEC80AB9880F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"5bcfb44e863a12f3c0902a1fd252cd3448e15bfc","datavalue":{"value":{"entity-type":"item","numeric-id":2503513,"id":"Q2503513"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$124A4081-B42A-41C8-8120-CCF346709814","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"8960811227356aeb8b114cdb69438711e7500dd4","datavalue":{"value":{"entity-type":"item","numeric-id":1424711,"id":"Q1424711"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$6ED7271D-33AB-42F8-8706-FB6C79498C93","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"dc024e17ff6370e53ab088138aa3caf25a2c5eff","datavalue":{"value":{"entity-type":"item","numeric-id":3997540,"id":"Q3997540"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q854287$F65CE11C-7975-454E-84DB-315AC640960F","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"79de1dfc736be5c53c95df1007185424feea0a6a","datavalue":{"value":"10.1007/S00780-006-0010-8","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q854287$C5784947-EE0E-46CD-857E-54D08E7B5BE3","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c02a537b8550255360ea74aab4fd866328676f4c","datavalue":{"value":{"entity-type":"item","numeric-id":4792527,"id":"Q4792527"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"f2a50f3872aa5e3c9869edfd17b8edb170401833","datavalue":{"value":{"amount":"+0.9191271066665648","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q854287$36F1791B-4C4D-4726-A0D2-70F018138D72","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"4bda0b2b2d314c630409016e0d1bfa93bb59f002","datavalue":{"value":{"entity-type":"item","numeric-id":1872428,"id":"Q1872428"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"b1c04dd643f746df273010a3d21f3230215b2fe7","datavalue":{"value":{"amount":"+0.8671226501464844","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q854287$DDD277A0-E28D-402E-81B7-9EB9EF3A8BD8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"e00b43b3bcd9983e1fcf0f30e59c05862a5d90ba","datavalue":{"value":{"entity-type":"item","numeric-id":966433,"id":"Q966433"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"4130b11fb47471c44a0cf97a713df823b51a561a","datavalue":{"value":{"amount":"+0.8381936550140381","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q854287$078C93FC-9D3F-443E-A017-453E8C89241E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"cf6a716f1afc89c79203688af46f10365a692f24","datavalue":{"value":{"entity-type":"item","numeric-id":1872384,"id":"Q1872384"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"19279cf7015eff7bac111b9569f4bb1707f6657a","datavalue":{"value":{"amount":"+0.8362493515014648","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q854287$C34E4EE6-4895-46A6-89B0-34CBFCC6DE3E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"78786fcf095aae8d5aff001ce7e63e8284240c8b","datavalue":{"value":{"entity-type":"item","numeric-id":2707143,"id":"Q2707143"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"2700020d83421634893a9413433a8e0ae203710b","datavalue":{"value":{"amount":"+0.8335211277008057","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q854287$DAA4F814-1522-4551-9E5F-148F6594D549","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"A risk-sensitive stochastic control approach to an optimal investment problem with partial information","badges":[]}}}}}