Long run risk sensitive portfolio with general factors (Q283999): Difference between revisions

@@ Property / DOI @@
-.1007/s00186-015-0528-7
@@ Property / DOI: 10.1007/s00186-015-0528-7 / rank @@
-Normal rank
@@ Property / author @@
-Łukasz Stettner
@@ Property / author: Łukasz Stettner / rank @@
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@@ Property / author @@
+Łukasz Stettner
@@ Property / author: Łukasz Stettner / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+J05
@@ Property / Mathematics Subject Classification ID: 60J05 / rank @@
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@@ Property / zbMATH DE Number @@
+6581180
@@ Property / zbMATH DE Number: 6581180 / rank @@
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@@ Property / zbMATH Keywords @@
+risk sensitive portfolio
@@ Property / zbMATH Keywords: risk sensitive portfolio / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+risk sensitive criterion
@@ Property / zbMATH Keywords: risk sensitive criterion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Bellman equation
@@ Property / zbMATH Keywords: Bellman equation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+weighted span norm
@@ Property / zbMATH Keywords: weighted span norm / rank @@
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@@ Property / zbMATH Keywords @@
+risk measure
@@ Property / zbMATH Keywords: risk measure / rank @@
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@@ Property / arXiv ID @@
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@@ Property / arXiv ID: 1508.05460 / rank @@
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@@ Property / cites work @@
+Risk-sensitive dynamic asset management
@@ Property / cites work: Risk-sensitive dynamic asset management / rank @@
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@@ Property / cites work @@
+DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE
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@@ Property / cites work @@
+Dynamic Limit Growth Indices in Discrete Time
@@ Property / cites work: Dynamic Limit Growth Indices in Discrete Time / rank @@
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@@ Property / cites work: An Intertemporal Capital Asset Pricing Model / rank @@
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+Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
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@@ Property / cites work @@
+Portfolio Optimization and Performance Analysis
@@ Property / cites work: Portfolio Optimization and Performance Analysis / rank @@
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@@ Property / cites work @@
+Risk-Sensitive Markov Control Processes
@@ Property / cites work: Risk-Sensitive Markov Control Processes / rank @@
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@@ Property / cites work @@
+Risk sensitive portfolio optimization
@@ Property / cites work: Risk sensitive portfolio optimization / rank @@
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@@ Property / cites work @@
+Q3160519
@@ Property / cites work: Q3160519 / rank @@
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@@ Property / DOI @@
+.1007/S00186-015-0528-7
@@ Property / DOI: 10.1007/S00186-015-0528-7 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:283999