Robust utility maximization in a stochastic factor model (Q3417653)
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scientific article; zbMATH DE number 5119808
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| default for all languages | No label defined |
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| English | Robust utility maximization in a stochastic factor model |
scientific article; zbMATH DE number 5119808 |
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Robust utility maximization in a stochastic factor model (English)
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30 January 2007
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optimal investment
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model uncertainty
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incomplete markets
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stochastic volatility
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coherent risk measures
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optimal control
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convex duality
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0.9096404
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0.90463483
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0.90307736
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0.9003272
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0.8988503
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0.89353853
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0.8904978
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0.89035237
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