Worst-case scenario portfolio optimization: a new stochastic control approach (Q814888)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Worst-case scenario portfolio optimization: a new stochastic control approach |
scientific article |
Statements
Worst-case scenario portfolio optimization: a new stochastic control approach (English)
0 references
8 February 2006
0 references
optimal portfolios
0 references
crash modelling
0 references
Bellman principle
0 references
equilibrium strategies
0 references
worst-case scenario
0 references
changing market coefficients
0 references
