scientific article; zbMATH DE number 2134082

MaRDI QIDQ3159223zbMATH OpenFDO

Authors Kazutaka Kuroda, Hideo Nagai

Publication date 15 February 2005

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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(3)

• Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs
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