Long-term optimal investment in matrix valued factor models (Q5280243)
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scientific article; zbMATH DE number 6750534
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| English | Long-term optimal investment in matrix valued factor models |
scientific article; zbMATH DE number 6750534 |
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Long-Term Optimal Investment in Matrix Valued Factor Models (English)
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20 July 2017
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long horizon optimal investment problems
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matrix valued state variables
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portfolio choice
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long-run
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risk sensitive control
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portfolio turnpike
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Wishart process
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isoelastic utility
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optimal strategy convergence
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0.8268176317214966
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0.8071416616439819
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0.7894606590270996
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0.7882741689682007
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0.7857208847999573
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