Optimal long term growth rate of expected utility of wealth

DOI10.1214/aoap/1029962817zbMath0962.91036OpenAlexW1970973540MaRDI QIDQ1578591

Wendell H. Fleming, Shuenn-Jyi Sheu

Publication date: 4 September 2000

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1029962817

zbMATH Keywords

Ornstein-Uhlenbeck processoptimal policyHARA utility functionlong-term growth rate

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites Work

• Risk-sensitive dynamic asset management
• Optimal portfolios with asymptotic criteria
• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
• Principles for modelling financial markets
• Risk-Sensitive Control on an Infinite Time Horizon
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