Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach (Q5219546)
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scientific article; zbMATH DE number 7179745
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach |
scientific article; zbMATH DE number 7179745 |
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Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach (English)
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12 March 2020
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optimal investment
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ambiguity aversion
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duality method
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jump diffusion
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worst-case scenario
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