Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation (Q3427513)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation |
scientific article |
Statements
Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation (English)
0 references
20 March 2007
0 references
risk sensitive control
0 references
optimal portfolios
0 references
Cox-Ingersoll-Ross interest rates
0 references
incomplete model
0 references
