Risk-sensitive portfolio optimization problems with general nonnegative factor models
From MaRDI portal
Publication:1002378
zbMath1159.93033MaRDI QIDQ1002378
Publication date: 26 February 2009
Published in: Differential Equations and Dynamical Systems (Search for Journal in Brave)
risk-sensitive portfolio optimizationoptimal investment strategiesportfolio optimization problem with stochastic interest rate
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)