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Long Horizon Optimal Investment and Risk-Sensitive Control in Stochastic Volatility Models with Matrix Valued Factors Robertson, Scott

Item Metadata

Title
Long Horizon Optimal Investment and Risk-Sensitive Control in Stochastic Volatility Models with Matrix Valued Factors
Creator
Robertson, Scott
Publisher
Banff International Research Station for Mathematical Innovation and Discovery
Date Issued
2014-07-07
Extent
41 minutes
Subject
Mathematics; Probability theory and stochastic processes; Game theory, economics, social and behavioral sciences; Mathematical finance
Type
Moving Image
File Format
video/mp4
Language
eng
Notes
Author affiliation: Carnegie Mellon University
Series
BIRS Workshop Lecture Videos (Banff, Alta)
Date Available
2014-12-22
Provider
Vancouver : University of British Columbia Library
Rights
Attribution-NonCommercial-NoDerivs 2.5 Canada
DOI
10.14288/1.0043329
URI
http://hdl.handle.net/2429/51628
Affiliation
Non UBC
Peer Review Status
Unreviewed
Scholarly Level
Faculty
Rights URI
http://creativecommons.org/licenses/by-nc-nd/2.5/ca/
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Attribution-NonCommercial-NoDerivs 2.5 Canada