Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Year of publication: |
1999
|
---|---|
Authors: | Bielecki, Tomasz ; Hernández-Hernández, Daniel ; Pliska, Stanley R. |
Published in: |
Computational Statistics. - Springer. - Vol. 50.1999, 2, p. 167-188
|
Publisher: |
Springer |
Subject: | Risk sensitive Markov decision processes | portfolio optimization | factor modeling |
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