Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect
| Year of publication: |
2011
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|---|---|
| Authors: | Hayashi, Tadashi ; Sekine, Jun |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 18.2011, 4, p. 385-403
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| Publisher: |
Springer |
| Subject: | Risk-sensitive portfolio optimization | Two-dimensional factor | Memory effect | CPPI | Exponential of linear-quadratic-gaussian control | Algebraic/differential Riccati equation |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009327800