Dynamic robust duality in utility maximization (Q519879): Difference between revisions
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| Property / zbMATH DE Number: 6699107 / rank | |||
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robust portfolio optimization | |||
| Property / zbMATH Keywords: robust portfolio optimization / rank | |||
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stochastic maximum principle | |||
| Property / zbMATH Keywords: stochastic maximum principle / rank | |||
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backward stochastic differential equation | |||
| Property / zbMATH Keywords: backward stochastic differential equation / rank | |||
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robust duality | |||
| Property / zbMATH Keywords: robust duality / rank | |||
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dynamic duality method | |||
| Property / zbMATH Keywords: dynamic duality method / rank | |||
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Itô-Lévy market | |||
| Property / zbMATH Keywords: Itô-Lévy market / rank | |||
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Revision as of 05:05, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic robust duality in utility maximization |
scientific article |
Statements
Dynamic robust duality in utility maximization (English)
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31 March 2017
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robust portfolio optimization
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stochastic maximum principle
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backward stochastic differential equation
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robust duality
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dynamic duality method
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Itô-Lévy market
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