Risk Sensitive Portfolio Optimization in a Jump Diffusion...

SIAM Journal on Control and Optimization 2018 / 01 Vol. 56; Iss. 2

Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes

Das, Milan Kumar, Goswami, Anindya, Rana, Nimit
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Volume:
56
Language:
english
Journal:
SIAM Journal on Control and Optimization
DOI:
10.1137/17M1121809
Date:
January, 2018
File:
PDF, 612 KB
english, 2018
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