Worst-case scenario portfolio optimization: a new stochastic control approach (Q814888): Difference between revisions

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Revision as of 14:22, 19 March 2024

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Worst-case scenario portfolio optimization: a new stochastic control approach
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    Worst-case scenario portfolio optimization: a new stochastic control approach (English)
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    8 February 2006
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    optimal portfolios
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    crash modelling
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    Bellman principle
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    equilibrium strategies
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    worst-case scenario
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    changing market coefficients
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