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Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model (2011)

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/10.1137/090760180

Publication URI: http://dx.doi.org/10.1137/090760180

Type: Journal Article/Review

Parent Publication: SIAM Journal on Financial Mathematics

Issue: 1