Robust utility maximization under convex portfolio constraints (Q2348619)
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scientific article
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| default for all languages | No label defined |
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| English | Robust utility maximization under convex portfolio constraints |
scientific article |
Statements
Robust utility maximization under convex portfolio constraints (English)
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15 June 2015
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utility maximization
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backward stochastic differential equations
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recursive utility
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model uncertainty
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robust control
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maximum principle
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forward-backward system
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0.8820942044258118
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0.8639147877693176
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0.8635166883468628
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0.8597890138626099
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0.8495774269104004
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