A Risk-Sensitive Portfolio Optimisation Problem with Stochastic Interest Rate
Year of publication: |
2006
|
---|---|
Authors: | Goel, Mayank ; Suresh Kumar K. |
Published in: |
Journal of Emerging Market Finance. - Institute for Financial Management and Research. - Vol. 5.2006, 3, p. 263-282
|
Publisher: |
Institute for Financial Management and Research |
Subject: | Portfolio optimisation | risk-sensitive control | stochastic interest rate |
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