Optimal investment in a general stochastic factor framework under model uncertainty (Q6154310)
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scientific article; zbMATH DE number 7805239
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment in a general stochastic factor framework under model uncertainty |
scientific article; zbMATH DE number 7805239 |
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Optimal investment in a general stochastic factor framework under model uncertainty (English)
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15 February 2024
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robust optimization
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portfolio management
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Bellman-Isaacs equation
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stochastic differential games
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stochastic factor model
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