Adaptive-robust portfolio optimisation

DOI10.1007/S11579-025-00411-4MaRDI QIDQ6839197zbMATH OpenFDO

Authors Theerawat Bhudisaksang, Álvaro Cartea, Leandro Sánchez-Betancourt

Publication date 24 March 2026

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S11579-025-00411-4

zbMATH Keywords

adaptive-robust controlalgorithmic tradingdynamic programmingmodel uncertaintyonline learningstochastic controltime-consistency

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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