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Journal ArticleOPEN ACCESS

Risk-Sensitive Asset Management under a Wishart Autoregressive Factor Model

  • Hata H
  • Sekine J
Journal of Mathematical Finance (2013) 03(01) 222-229
DOI: 10.4236/jmf.2013.31a021
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Abstract

… The risk-sensitive asset management problem with a finite … the solution to the risk-sensitive asset management problem. … which we call the risk-sensitive asset management problem. …

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Hata, H., & Sekine, J. (2013). Risk-Sensitive Asset Management under a Wishart Autoregressive Factor Model. Journal of Mathematical Finance, 03(01), 222–229. https://doi.org/10.4236/jmf.2013.31a021

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