Discrete‐time risk sensitive portfolio optimization with proportional transaction costs (Q6146693)
From MaRDI portal
scientific article; zbMATH DE number 7797380
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discrete‐time risk sensitive portfolio optimization with proportional transaction costs |
scientific article; zbMATH DE number 7797380 |
Statements
Discrete‐time risk sensitive portfolio optimization with proportional transaction costs (English)
0 references
31 January 2024
0 references
Bellman equation
0 references
long time horizon
0 references
portfolio optimization
0 references
risk sensitive portfolio
0 references
risk sensitive criterion
0 references
risk sensitive control
0 references
transaction costs
0 references
0 references
0 references
0 references
0 references
0 references
0 references
