Risk-sensitive asset management in a general diffusion factor model: risk-seeking case
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Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)
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Cites work
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Cited in
(13)- Risk seeking, nonconvex remuneration and regime switching
- Risk-sensitive portfolio optimization problem for a large trader with inside information
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- Risk-sensitive investment in a finite-factor model
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