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Risk-sensitive portfolio optimization on infinite time horizon

โœ Scribed by Kuroda, Kazutaka ;Nagai, Hideo


Book ID
115462534
Publisher
Taylor and Francis Group
Year
2002
Weight
215 KB
Volume
73
Category
Article
ISSN
1045-1129

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Infinite horizon risk sensitive control
โœ G.B.Di Masi; ล. Stettner ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 96 KB

A control problem with risk sensitive ergodic performance criterion is considered for a discrete time Feller process. Using assumptions of uniform ergodicity and small risk factor, the existence and uniqueness of the solution to the Bellman equation is proved. Uniform approximations to such solution