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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 89, 2017 - Issue 1: Festschrift for Bernt Øksendal
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Original Articles

Risk-sensitive investment in a finite-factor model

Grzegorz AndruszkiewiczDepartment of Mathematics, Imperial College London, London, UK.
,
Mark H. A. DavisDepartment of Mathematics, Imperial College London, London, UK.Correspondence[email protected]
&
Sébastien LleoDepartment of Finance, NEOMA Business School, Reims, France.
Pages 89-114 | Received 25 Aug 2015, Accepted 04 Jan 2016, Published online: 12 Feb 2016

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