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Risk-sensitive optimal investment policy

 

作者: MARIO LEFEBVRE,   PIERRE MONTULET,  

 

期刊: International Journal of Systems Science  （Taylor Available online 1994）
卷期: Volume 25, issue 1  

页码: 183-192

 

ISSN:0020-7721

 

年代: 1994

 

DOI:10.1080/00207729408928952

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

A system of two ordinary differential equations representing the rate of change with respect to time of the liquid and the non-liquid assets of a company are considered. The control that maximizes a ( stochastic) risk-sensitive criterion is obtained. The corresponding deterministic problem is also solved

 

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