Worst-case scenario portfolio optimization: a new stochastic control approach

DOI10.1007/s00186-005-0444-3zbMath1132.91469MaRDI QIDQ814888

Olaf Menkens, Ralf Korn

Publication date: 8 February 2006

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: http://doras.dcu.ie/507/1/math_meth_62_1_2005.pdf

zbMATH Keywords

equilibrium strategies; optimal portfolios; Bellman principle; worst-case scenario; changing market coefficients; crash modelling

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

90C39: Dynamic programming

93E20: Optimal stochastic control

91G10: Portfolio theory

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