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Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon

In: Recent Developments In Mathematical Finance

Author

Listed:
  • Hideo Nagai

    (Department of Mathematical Science, Graduate School of Engineering Science, Osaka University, Toyonaka, 560-8531, Japan)

  • Shige Peng

    (Department of Mathematics, Shangdong University, Jinan 250100, China)

Abstract

No abstract received.

Suggested Citation

  • Hideo Nagai & Shige Peng, 2001. "Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 8, pages 85-98, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812799579_0008
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    Cited by:

    1. Paolo Guasoni & Constantinos Kardaras & Scott Robertson & Hao Xing, 2014. "Abstract, classic, and explicit turnpikes," Finance and Stochastics, Springer, vol. 18(1), pages 75-114, January.

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