Long run risk sensitive portfolio with general factors
Year of publication: |
April 2016
|
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Authors: | Pitera, Marcin ; Stettner, Łukasz |
Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 83.2016, 2, p. 265-293
|
Subject: | Risk sensitive portfolio | Risk senstitive criterion | Bellman equation | Weighted span norm | Risk measure | Theorie | Theory | Portfolio-Management | Portfolio selection | Risiko | Risk | Risikomaß |
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