Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation (Q5739574): Difference between revisions

@@ Property / describes a project that uses @@
+CVX
@@ Property / describes a project that uses: CVX / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/00207160.2013.871542
+Normal rank
@@ Property / OpenAlex ID @@
+W1991036530
@@ Property / OpenAlex ID: W1991036530 / rank @@
+Normal rank
@@ Property / cites work @@
+Existence of solutions for the nonlinear partial differential equation arising in the optimal investment problem
+Normal rank
@@ Property / cites work @@
+Dynamic programming and stochastic control
@@ Property / cites work: Dynamic programming and stochastic control / rank @@
+Normal rank
@@ Property / cites work @@
+Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
+Normal rank
@@ Property / cites work @@
+Risk-Constrained Dynamic Active Portfolio Management
+Normal rank
@@ Property / cites work @@
+Q4032143
@@ Property / cites work: Q4032143 / rank @@
+Normal rank
@@ Property / cites work @@
+Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
+Normal rank
@@ Property / cites work @@
+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
+Normal rank
@@ Property / cites work @@
+Q4307619
@@ Property / cites work: Q4307619 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust portfolio selection with uncertain exit time using worst-case VaR strategy
+Normal rank
@@ Property / cites work @@
+Traveling wave solutions to the nonlinear evolution equation for the risk preference
+Normal rank
@@ Property / cites work @@
+On traveling wave solutions to a Hamilton-Jacobi-Bellman equation with inequality constraints
+Normal rank
@@ Property / cites work @@
+A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM
+Normal rank
@@ Property / cites work @@
+Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance
+Normal rank
@@ Property / cites work @@
+Envelope Theorems for Arbitrary Choice Sets
@@ Property / cites work: Envelope Theorems for Arbitrary Choice Sets / rank @@
+Normal rank
@@ Property / cites work @@
+Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
+Normal rank
@@ Property / cites work @@
+Robust asset allocation
@@ Property / cites work: Robust asset allocation / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5739574