A risk-sensitive stochastic control approach to an optimal investment problem with partial information
Year of publication: |
2006
|
---|---|
Authors: | Hata, Hiroaki ; Iida, Yasunari |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 10.2006, 3, p. 395-426
|
Subject: | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming |
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