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- W2283561609 abstract "In the paper portfolio optimization over long run risk sensitive criterion is considered. It is assumed that economic factors which stimulate asset prices are ergodic but non necessarily uniformly ergodic. Solution to suitable Bellman equation using local span contraction with weighted norms is shown. The form of optimal strategy is presented and examples of market models satisfying imposed assumptions are shown." @default.
- W2283561609 created "2016-06-24" @default.
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- W2283561609 date "2015-08-22" @default.
- W2283561609 modified "2023-09-27" @default.
- W2283561609 title "Long run risk sensitive portfolio with general factors" @default.
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