Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon

Annals of Applied Probability

Volumn 12, Issue 1, 2002, Pages 173-195

  Nagai, Hideo ^a   Peng, Shige ^b  

^a OSAKA UNIVERSITY   (Japan)

^b SHANDONG UNIVERSITY   (China)

Author keywords

Infinite time horizon; Modified Zakai equations; Partial information; Portfolio optimization; Riccati equations; Risk sensitive control

Indexed keywords

EID: 0036102920     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1015961160     Document Type: Article

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