Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model (2013)

First Author: Davis M
Attributed to:  Portfolio Optimization via Risk-Sensitive Control funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1137/110825881

Publication URI: http://dx.doi.org/10.1137/110825881

Type: Journal Article/Review

Parent Publication: SIAM Journal on Control and Optimization

Issue: 2

ISSN: 03630129