Risk-sensitive portfolio optimization with two-factor having a memory effect (Q763414): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 11:26, 30 January 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Risk-sensitive portfolio optimization with two-factor having a memory effect |
scientific article |
Statements
Risk-sensitive portfolio optimization with two-factor having a memory effect (English)
0 references
9 March 2012
0 references
risk-sensitive portfolio optimization
0 references
two-dimensional factor
0 references
memory effect
0 references
CPPI
0 references
exponential of linear-quadratic-Gaussian control
0 references
algebraic/differential Riccati equation
0 references