Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation

DOI10.1080/00207160.2013.871542zbMath1342.90125OpenAlexW1991036530MaRDI QIDQ5739574

Mária Trnovská, Soňa Kilianová

Publication date: 19 July 2016

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2013.871542

zbMATH Keywords

Hamilton-Jacobi-Bellman equationrobust portfolio optimizationoptimal investment problem

Mathematics Subject Classification ID

Semidefinite programming (90C22) Nonlinear parabolic equations (35K55) Stochastic models in economics (91B70) Hamilton-Jacobi equations in mechanics (70H20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Related Items (3)

Nonlinear Parabolic Equations Arising in Mathematical Finance ⋮ Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem ⋮ Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation

Uses Software

• CVX

Cites Work

• Unnamed Item
• Unnamed Item
• Dynamic programming and stochastic control
• On traveling wave solutions to a Hamilton-Jacobi-Bellman equation with inequality constraints
• Robust asset allocation
• Quasilinearization numerical scheme for fully nonlinear parabolic problems with applications in models of mathematical finance
• Robust portfolio selection with uncertain exit time using worst-case VaR strategy
• Existence of solutions for the nonlinear partial differential equation arising in the optimal investment problem
• Traveling wave solutions to the nonlinear evolution equation for the risk preference
• A TRANSFORMATION METHOD FOR SOLVING THE HAMILTON–JACOBI–BELLMAN EQUATION FOR A CONSTRAINED DYNAMIC STOCHASTIC OPTIMAL ALLOCATION PROBLEM
• Risk-Constrained Dynamic Active Portfolio Management
• Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• Envelope Theorems for Arbitrary Choice Sets
• Robust Portfolio Selection Problems

This page was built for publication: Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation