Investment, confidence, and linear-exponential-Gaussian control

DOI10.1016/0165-1889(93)90015-KMaRDI QIDQ690168zbMATH OpenOpenAlexFDO

Authors Jeffrey H. Dorfman

Publication date 20 December 1993

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(93)90015-k

zbMATH Keywords

approximate boundsconfidence on investment

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Economic growth models (91B62) Application models in control theory (93C95) Discrete-time games (91A50)

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Cites work

• scientific article; zbMATH DE number 3889341 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• Investment Under Uncertainty
• On alternative methods of generating risk sensitive decision rules
• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games

Cited in

(2)

• Quantifying confidence
• Rational expectations and the theory of aggregate investment

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