A risk-sensitive stochastic control approach to an optimal investment problem with partial information
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References listed on IDEAS
- Knight, John L. & Yu, Jun, 2002.
"Empirical Characteristic Function In Time Series Estimation,"
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tadashi Hayashi & Jun Sekine, 2011. "Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(4), pages 385-403, November.
- Jun Sekine, 2012. "Long-term optimal portfolios with floor," Finance and Stochastics, Springer, vol. 16(3), pages 369-401, July.
- Thomas Knispel, 2012. "Asymptotics of robust utility maximization," Papers 1203.1191, arXiv.org.
More about this item
KeywordsLarge deviations; Risk-sensitive control; Optimal investment; Infinite time horizon; Partial information; Riccati equations; 91B28; 93E11; 93E20; D81; G11;
- 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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