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