Risk sensitive control of finite state Markov chains in...

Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management

Tomasz Bielecki, Daniel Hernández-Hernández, Stanley R. Pliska
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Volume:
50
Language:
english
Pages:
22
Journal:
Mathematical Methods of Operations Research (ZOR)
DOI:
10.1007/s001860050094
Date:
October, 1999
File:
PDF, 168 KB
english, 1999
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