Optimal investment in a general stochastic factor framework under model uncertainty (Q6154310): Difference between revisions

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Revision as of 09:25, 27 August 2024

scientific article; zbMATH DE number 7805239
Language Label Description Also known as
English
Optimal investment in a general stochastic factor framework under model uncertainty
scientific article; zbMATH DE number 7805239

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    Optimal investment in a general stochastic factor framework under model uncertainty (English)
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    15 February 2024
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    robust optimization
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    portfolio management
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    Bellman-Isaacs equation
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    stochastic differential games
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    stochastic factor model
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