Robust generalized Merton-type financial portfolio models with generalized utility

DOI10.1007/S10479-021-04051-XOpenAlexW3149133232MaRDI QIDQ6148775

Fouad Ben Abdelaziz, Davide La Torre

Publication date: 8 February 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04051-x

zbMATH Keywords

dynamic programmingmultiple criteria decision makingrobust optimizationset-valued utilityMerton's portfolio model

Mathematics Subject Classification ID

Mathematical programming (90Cxx) Mathematical economics (91Bxx) Actuarial science and mathematical finance (91Gxx)

Related Items (1)

Modeling portfolio efficiency using stochastic optimization with incomplete information and partial uncertainty

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