OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
From MaRDI portal
Publication:3022038
DOI10.1142/S0219024902001407zbMath1111.91318MaRDI QIDQ3022038
Publication date: 22 June 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Related Items
OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY, LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS, MULTI-ASSET WORST-CASE OPTIMAL PORTFOLIOS, CRASH HEDGING STRATEGIES AND WORST-CASE SCENARIO PORTFOLIO OPTIMIZATION, Strict local martingales and optimal investment in a Black–Scholes model with a bubble, OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK, Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems, Optimal portfolios: new variations of an old theme, Stochastic differential portfolio games for an insurer in a jump-diffusion risk process, Worst-case portfolio optimization in discrete time, A non-zero-sum reinsurance-investment game with delay and asymmetric information, Optimal portfolios in the presence of stress scenarios a worst-case approach, Worst-case-optimal dynamic reinsurance for large claims, Optimal decision under ambiguity for diffusion processes, Worst-case optimal investment with a random number of crashes, Robust optimal control for a consumption-investment problem, Worst-case scenario investment for insurers, Robust worst-case optimal investment, Optimal dynamic reinsurance with worst-case default of the reinsurer, WORST-CASE PORTFOLIO OPTIMIZATION IN A MARKET WITH BUBBLES, Worst-case portfolio optimization with proportional transaction costs, ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT
Cites Work