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Latest revision as of 00:20, 5 July 2024

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Risk-sensitive portfolio optimization with two-factor having a memory effect
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    Risk-sensitive portfolio optimization with two-factor having a memory effect (English)
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    9 March 2012
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    risk-sensitive portfolio optimization
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    two-dimensional factor
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    memory effect
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    CPPI
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    exponential of linear-quadratic-Gaussian control
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    algebraic/differential Riccati equation
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