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Risk-Sensitive Portfolio Optimization Problems with

✍ Scribed by M. Goel; K. S. Kumar


Publisher
Springer
Year
2009
Tongue
English
Weight
412 KB
Volume
142
Category
Article
ISSN
0022-3239

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We consider the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constraint when the price dynamics of the risky asset are governed by a Markov-modulated geometric Brownian motion (GBM). Here, the market parameters including the market interest rate of a bank account, th