Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation (Q5739574)
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scientific article; zbMATH DE number 6604235
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation |
scientific article; zbMATH DE number 6604235 |
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Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation (English)
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19 July 2016
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Hamilton-Jacobi-Bellman equation
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robust portfolio optimization
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optimal investment problem
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