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A large deviations approach to optimal long term investment |
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| Authors: | Huyên Pham |
| Affiliation: | (1) Laboratoire de Probabilités et Modèles Aléatoires, CNRS, UMR 7599, UFR Mathématiques, Case 7012, Université Paris 7, 2 Place Jussieu, 75251 Paris Cedex 05, France (e-mail: pham@gauss.math.jussieu.fr) , FR;(2) Crest, Laboratoire de Finance-Assurance , FR |
| Abstract: | |
| Keywords: | : Large deviation risk sensitive control dynamic programming equation optimal logarithmic moment generating function benchmark optimal portfolio |
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