Risk-sensitive dynamic asset management

DOI10.1007/s002459900110zbMath0984.91047OpenAlexW2013530375MaRDI QIDQ1288988

Stanley R. Pliska, Tomasz R. Bielecki

Publication date: 7 May 2002

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002459900110

zbMATH Keywords

large deviationsincomplete marketsoptimal portfolio selectionrisk-sensitive stochastic control

Mathematics Subject Classification ID

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