Robust utility maximization under convex portfolio constraints (Q2348619): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Changed an Item |
||
(4 intermediate revisions by 3 users not shown) | |||
Property / author | |||
Property / author: Anis Matoussi / rank | |||
Property / author | |||
Property / author: Anis Matoussi / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2022359666 / rank | |||
Normal rank | |||
Property / arXiv ID | |||
Property / arXiv ID: 1307.0872 / rank | |||
Normal rank |
Revision as of 05:46, 19 April 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Robust utility maximization under convex portfolio constraints |
scientific article |
Statements
Robust utility maximization under convex portfolio constraints (English)
0 references
15 June 2015
0 references
utility maximization
0 references
backward stochastic differential equations
0 references
recursive utility
0 references
model uncertainty
0 references
robust control
0 references
maximum principle
0 references
forward-backward system
0 references