Title of article
Risk-sensitive portfolio optimization with completely and partially observed factors
Author/Authors
L.، Stettner, نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
8
From page
457
To page
464
Abstract
In this note, optimal portfolio maximizing the long run risk-sensitized growth rate of the capital process in the case when the dynamics of the asset prices depend on some economical factors, which are completely or partially observed, using a discounted cost approach is shown.
Keywords
Power-aware
Journal title
IEEE Transactions on Automatic Control
Serial Year
2004
Journal title
IEEE Transactions on Automatic Control
Record number
97521
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