Title of article :
Risk-sensitive portfolio optimization with completely and partially observed factors
Author/Authors :
L.، Stettner, نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2004
Pages :
8
From page :
457
To page :
464
Abstract :
In this note, optimal portfolio maximizing the long run risk-sensitized growth rate of the capital process in the case when the dynamics of the asset prices depend on some economical factors, which are completely or partially observed, using a discounted cost approach is shown.
Keywords :
Power-aware
Journal title :
IEEE Transactions on Automatic Control
Serial Year :
2004
Journal title :
IEEE Transactions on Automatic Control
Record number :
97521
Link To Document :
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