Journal of Mathematical Finance

Vol.3 No.1A(2013), Paper ID 29353, 8 pages

DOI:10.4236/jmf.2013.31A021

 

Risk-Sensitive Asset Management under a Wishart Autoregressive Factor Model

 

Hiroaki Hata, Jun Sekine

 

Department of Mathematics, Faculty of Education, Shizuoka University, Ohya, Japan
Division of Applied Mathematics for Social Systems, Graduate School of Engineering Science, Osaka University, Toyonaka, Japan

 

Copyright © 2013 Hiroaki Hata, Jun Sekine et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article


H. Hata and J. Sekine, "Risk-Sensitive Asset Management under a Wishart Autoregressive Factor Model," Journal of Mathematical Finance, Vol. 3 No. 1A, 2013, pp. 222-229. doi: 10.4236/jmf.2013.31A021.

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