Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice (Q3538147)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic Maximum Principle for a Kind of Risk-sensitive Optimal Control Problem and Application to Portfolio Choice |
scientific article |
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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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