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CPPI
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Risk-sensitive portfolio optimization
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Algebraic/differential Riccati equation
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American perpetual option
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Dynamic fund protection
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Sekine, Jun
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Hayashi, Tadashi
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Asia-Pacific Financial Markets
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Finance and Stochastics
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Long-term optimal portfolios with floor
Sekine, Jun
- In:
Finance and Stochastics
16
(
2012
)
3
,
pp. 369-401
Persistent link: https://www.econbiz.de/10010557974
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2
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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