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Volumn 9, Issue 3, 1999, Pages 871-903

Optimal long term growth rate of expected utility of wealth

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EID: 0033249380     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1029962817     Document Type: Article
Times cited : (71)

References (15)
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  • 3
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    • Springer, New York
    • FLEMING, W. H. (1995). Optimal investment models and risk-sensitive stochastic control. IMA Vol. Math. Appl. 65 75-88. Springer, New York.
    • (1995) Ima Vol. Math. Appl. , vol.65 , pp. 75-88
    • Fleming, W.H.1
  • 5
    • 0001234347 scopus 로고
    • Risk-sensitive control on an infinite time horizon
    • FLEMING, W. H. and MCENEANEY, W. M. (1995). Risk-sensitive control on an infinite time horizon. SIAM J. Control Optim. 33 1881-1915.
    • (1995) SIAM J. Control Optim. , vol.33 , pp. 1881-1915
    • Fleming, W.H.1    McEneaney, W.M.2
  • 8
    • 0001287348 scopus 로고    scopus 로고
    • Bellman-Issacs equations of ergodic type related to risk-sensitive control and their singular limits
    • KAISE, H. and NAGAI, H. (1998). Bellman-Issacs equations of ergodic type related to risk-sensitive control and their singular limits. Asymptotic Anal. 16 347-362.
    • (1998) Asymptotic Anal. , vol.16 , pp. 347-362
    • Kaise, H.1    Nagai, H.2
  • 10
    • 21344484273 scopus 로고
    • Optimal portfolios with asymptotic criteria
    • KONNO, H., PLISKA, S. R. and SUZUKI, R. I. (1993). Optimal portfolios with asymptotic criteria, Ann. Oper. Res. 45 187-204.
    • (1993) Ann. Oper. Res. , vol.45 , pp. 187-204
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  • 12
    • 0009388799 scopus 로고    scopus 로고
    • Financial Math. Research Report FMRR 001-96, Australian National Univ
    • PLATEN, E. (1996). Explaining interest rate dynamics. Financial Math. Research Report FMRR 001-96, Australian National Univ.
    • (1996) Explaining Interest Rate Dynamics.
    • Platen, E.1
  • 13
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    • Principles for modelling financial markets
    • PLATEN, E. and REBOLLEDO, R. (1996). Principles for modelling financial markets, J. Appl. Probab. 33 601-603.
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    • Platen, E.1    Rebolledo, R.2
  • 15
    • 0000558949 scopus 로고
    • Diffusion model for optimal portfolio selection in presence of brokerage fees
    • TAKSAR, M., KLASS, M. and ASSAF, D. (1988). Diffusion model for optimal portfolio selection in presence of brokerage fees. Math. Oper. Res. 13 277-294.
    • (1988) Math. Oper. Res. , vol.13 , pp. 277-294
    • Taksar, M.1    Klass, M.2    Assaf, D.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.