Portfolio optimization under model uncertainty and BSDE games (Q2866379)

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Portfolio optimization under model uncertainty and BSDE games
scientific article

    Statements

    title
    Portfolio optimization under model uncertainty and BSDE games (English)
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    author
    Agnès Sulem
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    Bernt Øksendal
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    publication date
    13 December 2013
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    zbMATH Keywords
    model uncertainty
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    portfolio optimization
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    exponential utility
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    BSDEe
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    stochastic differential games
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    Itō-Lévy processes
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91G80
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    91A40
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    91A15
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    91A23
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    zbMATH DE Number
    6238223
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    OpenAlex ID
    W2160392227
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