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Search: subject:"Exponential of linear-quadratic-gaussian control"
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Algebraic/differential Riccati equation
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Exponential of linear-quadratic-gaussian control
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Memory effect
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Risk-sensitive portfolio optimization
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Hayashi, Tadashi
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Sekine, Jun
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Asia-Pacific Financial Markets
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Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect
Hayashi, Tadashi
;
Sekine, Jun
- In:
Asia-Pacific Financial Markets
18
(
2011
)
4
,
pp. 385-403
Persistent link: https://www.econbiz.de/10009327800
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