Long run risk sensitive portfolio with general factors
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Publication:283999
DOI10.1007/s00186-015-0528-7zbMath1341.93109arXiv1508.05460OpenAlexW2963226038WikidataQ59472694 ScholiaQ59472694MaRDI QIDQ283999
Marcin Pitera, Łukasz Stettner
Publication date: 17 May 2016
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1508.05460
Discrete-time Markov processes on general state spaces (60J05) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
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