Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs (Q5469351)
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scientific article; zbMATH DE number 5024328
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs |
scientific article; zbMATH DE number 5024328 |
Statements
Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs (English)
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18 May 2006
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risk sensitive control
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discrete time Markov processes
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wealth process
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optimal portfolio
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Bellman equation
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