Risk sensitive portfolio optimization in a jump diffusion model with regimes (Q4637645)
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scientific article; zbMATH DE number 6864425
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| English | Risk sensitive portfolio optimization in a jump diffusion model with regimes |
scientific article; zbMATH DE number 6864425 |
Statements
Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes (English)
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25 April 2018
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portfolio optimization
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jump diffusion market model
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semi-Markov switching
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risk sensitive criterion
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finite horizon
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0.8368278741836548
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0.8278248906135559
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0.8186168670654297
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0.8156071305274963
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0.8057922720909119
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