Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation (Q5739574)

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scientific article; zbMATH DE number 6604235
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Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation
scientific article; zbMATH DE number 6604235

    Statements

    title
    Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation (English)
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    author
    Soňa Kilianová
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    Mária Trnovská
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    publication date
    19 July 2016
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    Mathematics Subject Classification ID
    90C22
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    91B70
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    70H20
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    35K55
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    65M08
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    zbMATH DE Number
    6604235
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    zbMATH Keywords
    Hamilton-Jacobi-Bellman equation
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    robust portfolio optimization
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    optimal investment problem
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    OpenAlex ID
    W1991036530
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