Risk-sensitive portfolio optimization problem for a large trader with inside information (Q1630226)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Risk-sensitive portfolio optimization problem for a large trader with inside information |
scientific article |
Statements
Risk-sensitive portfolio optimization problem for a large trader with inside information (English)
0 references
7 December 2018
0 references
risk-sensitive control
0 references
stochastic factor model
0 references
insider trading
0 references
HJB equation
0 references
0 references