Game-theoretic approach to risk-sensitive benchmarked asset management
Year of publication: |
2014
|
---|---|
Authors: | Deshpande, Amogh ; Jacka, Saul D. |
Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 5.2014, 4, p. 163-176
|
Subject: | Risk-sensitive control | zero sum stochastic differential game | Spieltheorie | Game theory | Portfolio-Management | Portfolio selection | Benchmarking | Stochastisches Spiel | Stochastic game | Stochastischer Prozess | Stochastic process |
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