Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation (Q3427513)

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Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
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    Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation (English)
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    20 March 2007
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    risk sensitive control
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    optimal portfolios
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    Cox-Ingersoll-Ross interest rates
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    incomplete model
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