A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim (Q2797756): Difference between revisions

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Revision as of 17:26, 11 July 2024

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A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim
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    A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim (English)
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    31 March 2016
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    continuous-time mean-variance problem
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    intractable claim
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    background risk
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    quantile formulation
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    behavioral finance model
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    insurance
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    robust control problem
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