Risk-sensitive portfolio optimization with two-factor having a memory effect
Year of publication: |
2011
|
---|---|
Authors: | Hayashi, Tadashi ; Sekine, Jun |
Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 18.2011, 4, p. 385-403
|
Subject: | Portfolio-Management | Portfolio selection |
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