Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (Q1627817): Difference between revisions

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Latest revision as of 12:52, 17 July 2024

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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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