Robust utility maximization in a multivariate financial market with stochastic drift (Q5010073)
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scientific article; zbMATH DE number 7384601
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| 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)
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24 August 2021
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portfolio optimization
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drift uncertainty
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robust strategies
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stochastic filtering
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minimax theorems
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0.8479472994804382
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0.8022774457931519
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0.7939469218254089
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0.7869178056716919
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0.7831900715827942
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