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Risk sensitive portfolio optimisation problem with stochastic interest rate

Goel, Mayank and Kumar, K. Suresh

Risk sensitive portfolio optimisation problem with stochastic interest rate J5205 2006 - 2006 - 263-282 V. 5 Issue. 3

Subjects--Topical Terms:
Finance

Subjects--Index Terms: Portfolio optimisation;Risk sensitive control;Stochastic interest rate;

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