Long run risk sensitive portfolio with general factors (Q283999)

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Long run risk sensitive portfolio with general factors
scientific article

    Statements

    title
    Long run risk sensitive portfolio with general factors (English)
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    author
    Marcin Pitera
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    Łukasz Stettner
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    publication date
    17 May 2016
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    zbMATH Keywords
    risk sensitive portfolio
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    risk sensitive criterion
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    Bellman equation
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    weighted span norm
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    risk measure
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    cites work
    Q3414481
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    Q5493545
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    Q3868650
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    Q3160519
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    Identifiers

    Mathematics Subject Classification ID
    93E20
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    91G10
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    91G80
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    60J05
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    zbMATH DE Number
    6581180
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    Wikidata QID
    Q59472694
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    OpenAlex ID
    W2963226038
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    arXiv ID
    1508.05460
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