Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice (Q3538147)
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scientific article; zbMATH DE number 5371260
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| English | Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice |
scientific article; zbMATH DE number 5371260 |
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Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice (English)
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24 November 2008
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stochastic maximum principle
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risk-sensitive control
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portfolio choice
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0.9513164162635804
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0.8901222348213196
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0.8591352701187134
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0.8566029071807861
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