Economic Properties of the Risk Sensitive Criterion for Portfolio Management

Tomasz R. Bielecki and Stanley R. Pliska

Review of Accounting and Finance, 2003, vol. 2, issue 2, 3-17

Abstract: Keywords: Risk sensitive control, Optimal portfolios, Portfolio management

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:eme:rafpps:eb027004

DOI: 10.1108/eb027004

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