MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS (Q3393979)
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scientific article; zbMATH DE number 5599343
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| English | MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS |
scientific article; zbMATH DE number 5599343 |
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MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS (English)
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28 August 2009
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ergodic control
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growth-optimal portfolio
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mathematical finance
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portfolio constraints
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stochastic control
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tail value-at-risk
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value-at-risk
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0.8000018000602722
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0.7990369200706482
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0.7721332907676697
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