Down-side risk minimization under prescribed consumption level
From MaRDI portal
Publication:3119605
DOI10.3233/RDA-2011-0058zbMath1409.91218MaRDI QIDQ3119605
Publication date: 12 March 2019
Published in: Risk and Decision Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3233/rda-2011-0058
large deviation; H-J-B equation of ergodic type; risk-sensitive stochastic control; long-term investment and consumption