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Quantitative Finance Volume 8, 2008 - Issue 4
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Research Papers

Risk-sensitive benchmarked asset management

Mark Davis Department of Mathematics, Imperial College London, London SW7 2AZ, UKCorrespondence[email protected]
&
SÉBastien Lleo Department of Mathematics, Imperial College London, London SW7 2AZ, UKCorrespondence[email protected]
Pages 415-426 | Accepted 29 Mar 2007, Published online: 12 Jun 2008

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