Robust utility maximization under convex portfolio constraints (Q2348619)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust utility maximization under convex portfolio constraints |
scientific article |
Statements
Robust utility maximization under convex portfolio constraints (English)
0 references
15 June 2015
0 references
utility maximization
0 references
backward stochastic differential equations
0 references
recursive utility
0 references
model uncertainty
0 references
robust control
0 references
maximum principle
0 references
forward-backward system
0 references
