Downside risk minimization via a large deviations approach

Annals of Applied Probability

Volumn 22, Issue 2, 2012, Pages 608-669

  Nagai, Hideo ^a  

^a OSAKA UNIVERSITY   (Japan)

Author keywords

H J B equation of ergodic type; Large deviation; Long term investment; Risk sensitive stochastic control

Indexed keywords

EID: 84863939018     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/11-AAP781     Document Type: Article

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