Remarks on risk neutral and risk sensitive portfolio optimization (Q5493545)
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scientific article; zbMATH DE number 5066262
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| English | Remarks on risk neutral and risk sensitive portfolio optimization |
scientific article; zbMATH DE number 5066262 |
Statements
23 October 2006
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risk sensitive control
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discrete-time Markov processes
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splitting
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Poisson equation
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Bellman equation
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0.834703266620636
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0.8218954205513
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0.7981598377227783
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0.7844908237457275
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