Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation (Q5739574)
From MaRDI portal
scientific article; zbMATH DE number 6604235
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation |
scientific article; zbMATH DE number 6604235 |
Statements
Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation (English)
0 references
19 July 2016
0 references
Hamilton-Jacobi-Bellman equation
0 references
robust portfolio optimization
0 references
optimal investment problem
0 references
0 references
0 references
0 references
0 references
