Risk-sensitive portfolio optimization with two-factor having a memory effect
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Publication:763414
DOI10.1007/s10690-010-9136-yzbMath1233.91245MaRDI QIDQ763414
Publication date: 9 March 2012
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-010-9136-y
CPPI; memory effect; algebraic/differential Riccati equation; exponential of linear-quadratic-Gaussian control; risk-sensitive portfolio optimization; two-dimensional factor
49L20: Dynamic programming in optimal control and differential games
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
91G10: Portfolio theory
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