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"Risk-sensitive ICAPM with application to fixed-income management."

Tomasz R. Bielecki, Stanley R. Pliska (2004)

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DOI: 10.1109/TAC.2004.824470

access: closed

type: Journal Article

metadata version: 2020-10-26

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Tomasz R. Bielecki, Stanley R. Pliska:
Risk-sensitive ICAPM with application to fixed-income management. IEEE Trans. Autom. Control. 49(3): 420-432 (2004)

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