Risk-sensitive portfolio optimization on infinite time horizon (Q4799385)

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scientific article; zbMATH DE number 1886343
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Risk-sensitive portfolio optimization on infinite time horizon
scientific article; zbMATH DE number 1886343

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    Risk-sensitive portfolio optimization on infinite time horizon (English)
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    2002
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    Portfolio optimization
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    Risk-sensitive control
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    Infinite time horizon
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    Riccati equations
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    Bellman equations
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    Factor model
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