"Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest ..."

Tomasz R. Bielecki, Stanley R. Pliska, Shuenn-Jyi Sheu (2005)

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DOI: 10.1137/S0363012903437952

access: closed

type: Journal Article

metadata version: 2020-10-26

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Tomasz R. Bielecki, Stanley R. Pliska, Shuenn-Jyi Sheu:
Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation. SIAM J. Control. Optim. 44(5): 1811-1843 (2005)

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