Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Year of publication: |
1999
|
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Authors: | Bielecki, Thomas ; Hernández-Hernández, Daniel ; Pliska, Stanley R. |
Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 50.1999, 2, p. 167-188
|
Subject: | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Dynamic programming | Markov-Kette | Markov chain | Theorie | Theory |
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