Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization

Giovanni B. Di Masi () and Lukasz Stettner ()
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Giovanni B. Di Masi: Università di Padova, Dipartimento di Matematica
Lukasz Stettner: Institute of Mathematics, Polish Academy of Sciences

A chapter in From Stochastic Calculus to Mathematical Finance, 2006, pp 211-226 from Springer

Keywords: Markov Process; Markov Decision Process; Bellman Equation; Risk Neutral; Large Deviation Estimate (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/978-3-540-30788-4_10

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