Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation

Tomasz R. Bielecki, Stanley R. Pliska, Shuenn-Jyi Sheu. Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation. SIAM J. Control and Optimization, 44(5):1811-1843, 2005. [doi]

Abstract

Abstract is missing.