Robust portfolio selection under exponential preferences (Q3561059)

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Robust portfolio selection under exponential preferences
scientific article

    Statements

    title
    Robust portfolio selection under exponential preferences (English)
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    author
    Dariusz Zawisza
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    publication date
    21 May 2010
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    zbMATH Keywords
    CARA utility
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    Hamilton-Jacobi-Bellman-Isaac equation
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    differential game
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91A15
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    91A23
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    49L99
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    93E20
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    zbMATH DE Number
    5710975
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    OpenAlex ID
    W2049180274
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    DOI
    10.4064/AM37-2-6
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