A risk-sensitive stochastic control approach to an optimal investment problem with partial information
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 10 (2006)
Issue (Month): 3 (September)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 91B - - - - - -
- 93E - - - - - -
- 93E - - - - - -
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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- Tadashi Hayashi & Jun Sekine, 2011. "Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect," Asia-Pacific Financial Markets, Springer, vol. 18(4), pages 385-403, November.
- Thomas Knispel, 2012. "Asymptotics of robust utility maximization," Papers 1203.1191, arXiv.org.
- Jun Sekine, 2012. "Long-term optimal portfolios with floor," Finance and Stochastics, Springer, vol. 16(3), pages 369-401, July.
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