Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (Q1627817): Difference between revisions
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Revision as of 05:07, 5 March 2024
scientific article
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English | Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps |
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Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (English)
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3 December 2018
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risk-sensitive asset management
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Wishart autoregressive jump-diffusion factor
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Riccati differential equation
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