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Search: subject:"Risk-sensitive criterion"
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4OR : a quarterly journal of operations research
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Discrete-time risk sensitive portfolio optimization with proportional transaction costs
Pitera, Marcin
;
Stettner, Łukasz
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1287-1313
Persistent link: https://www.econbiz.de/10014370659
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Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates
Guo, Xin
;
Liu, Qiuli
;
Zhang, Yi
- In:
4OR : a quarterly journal of operations research
17
(
2019
)
4
,
pp. 427-442
Persistent link: https://www.econbiz.de/10012132940
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