Risk sensitive asset allocation
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Publication:1575279
DOI10.1016/S0165-1889(99)00017-2zbMath0951.90051OpenAlexW2012131330MaRDI QIDQ1575279
Stanley R. Pliska, Tomasz R. Bielecki, Michael Sherris
Publication date: 21 August 2000
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(99)00017-2
Markov processes: estimation; hidden Markov models (62M05) Quadratic programming (90C20) Stochastic programming (90C15) Markov and semi-Markov decision processes (90C40)
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