Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
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Publication:1872428
DOI10.1214/aoap/1015961160zbMath1042.91048MaRDI QIDQ1872428
Publication date: 6 May 2003
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1015961160
partial differential equation; factor model; optimal investment problem; Ito calculus; risk-sensitive stochastic control problem
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G10: Portfolio theory
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