Risk-sensitive portfolio optimization with two-factor having a memory effect (Q763414)
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scientific article; zbMATH DE number 6013633
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| English | Risk-sensitive portfolio optimization with two-factor having a memory effect |
scientific article; zbMATH DE number 6013633 |
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Risk-sensitive portfolio optimization with two-factor having a memory effect (English)
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9 March 2012
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risk-sensitive portfolio optimization
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two-dimensional factor
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memory effect
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CPPI
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exponential of linear-quadratic-Gaussian control
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algebraic/differential Riccati equation
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0.88708127
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0.88364184
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0.87631464
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0.8752806
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0.86577684
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0.8649889
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0.8647044
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