A robust Markowitz mean-variance portfolio selection model with an intractable claim (Q2797756)
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scientific article; zbMATH DE number 6561492
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| English | A robust Markowitz mean-variance portfolio selection model with an intractable claim |
scientific article; zbMATH DE number 6561492 |
Statements
31 March 2016
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continuous-time mean-variance problem
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intractable claim
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background risk
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quantile formulation
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behavioral finance model
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insurance
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robust control problem
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0.9442427
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0.91157866
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0.8768151
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0.8764932
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0.8735471
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0.8711813
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0.87075686
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0.86995727
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A robust Markowitz mean-variance portfolio selection model with an intractable claim (English)
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