Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps
Crossref DOI link: https://doi.org/10.1007/s10690-017-9231-4
Published Online: 2017-09-01
Published Print: 2017-09
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Hata, Hiroaki http://orcid.org/0000-0001-8593-3501
Sekine, Jun
Funding for this research was provided by:
Japan Society for the Promotion of Science (15K17584, 15K03540)
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Article History
First Online: 1 September 2017