Risk-sensitive asset management in a wishart-autoregressive factor model with jumps
Hiroaki Hata, Jun Sekine
| Year of publication: |
September 2017
|
|---|---|
| Authors: | Hata, Hiroaki ; Sekine, Jun |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 24.2017, 3, p. 221-252
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| Subject: | Risk-sensitive asset management | Wishart autoregressive jump-diffusion factor | Riccati differential equation | Portfolio-Management | Portfolio selection | Faktorenanalyse | Factor analysis | Stochastischer Prozess | Stochastic process | Vermögensverwaltung | Asset management | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-017-9231-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011797667