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Mark Davis, Sebastien Lleo. Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model. SIAM J. Financial Math., 2(1):22-54, 2011. [doi]
Possibly Related PublicationsThe following publications are possibly variants of this publication: Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor ModelMark Davis, Sebastien Lleo. siamco, 51(2):1441-1480, 2013. [doi] Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative dataMark Davis, Sébastien Lleo. anor, 336(1-2):661-689, May 2024. [doi] Jump-diffusion asset-liability management via risk-sensitive controlMark H. A. Davis, Sébastien Lleo. ors, 37(3):655-675, 2015. [doi]
The following publications are possibly variants of this publication: