ROBUST UTILITY MAXIMIZATION IN A MULTIVARIATE FINANCIAL MARKET WITH STOCHASTIC DRIFT (Q5010073)
From MaRDI portal
scientific article; zbMATH DE number 7384601
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ROBUST UTILITY MAXIMIZATION IN A MULTIVARIATE FINANCIAL MARKET WITH STOCHASTIC DRIFT |
scientific article; zbMATH DE number 7384601 |
Statements
ROBUST UTILITY MAXIMIZATION IN A MULTIVARIATE FINANCIAL MARKET WITH STOCHASTIC DRIFT (English)
0 references
24 August 2021
0 references
portfolio optimization
0 references
drift uncertainty
0 references
robust strategies
0 references
stochastic filtering
0 references
minimax theorems
0 references
0 references
0 references
0 references
0 references
