Risk sensitive portfolio optimization

In the paper discrete time portfolio selection with maximization of the risk sensitized growth rate with and without transaction costs is considered. Copyright Springer-Verlag Berlin Heidelberg 1999

MoreLess

Year of publication:	1999
Authors:	Stettner, Lukasz
Published in:	Computational Statistics. - Springer. - Vol. 50.1999, 3, p. 463-474
Publisher:	Springer
Subject:	Risk sensitive stochastic control \| portfolio selection \| Bellman equation \| transaction costs

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010759417