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Stochastics and Stochastic Reports Volume 73, 2002 - Issue 3-4
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Original Articles

Risk-sensitive portfolio optimization on infinite time horizon

Kazutaka Kuroda Actuarial Division 1-2-1, Daido Life Insurance Company, Edobori, Nishi-Ku, Osaka, 550-0002, Japan
&
Hideo Nagai Department of Mathematical Science, Graduate School of Engineering Science, Osaka University, Toyonaka, 560-8531, Japan
Pages 309-331 | Published online: 29 Oct 2010

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