"Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes."

Milan Kumar Das, Anindya Goswami, Nimit Rana (2018)

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DOI: 10.1137/17M1121809

access: closed

type: Journal Article

metadata version: 2021-10-14

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Milan Kumar Das, Anindya Goswami, Nimit Rana:
Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes. SIAM J. Control. Optim. 56(2): 1550-1576 (2018)

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