On Worst-Case Portfolio Optimization

DOI10.1137/060657145MaRDI QIDQ3544225zbMATH OpenOpenAlexFDO

Authors Ralf Korn, Mogens Steffensen

Publication date 5 December 2008

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/060657145

zbMATH Keywords

Hamilton-Jacobi-Bellman equationmarket crashstochastic differential gamesutility optimization

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Optimal stochastic control (93E20)

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(30)

• Worst case model risk management
• Optimal investment and consumption when allowing terminal debt
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• Optimal portfolios in the presence of stress scenarios a worst-case approach
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• Worst-case-optimal dynamic reinsurance for large claims
• Worst-case optimal investment with a random number of crashes
• Robust optimal control for a consumption-investment problem
• Robust worst-case optimal investment
• The worst-case discounted regret portfolio optimization problem
• Worst-case portfolio optimization in a market with bubbles
• Worst-case portfolio optimization with proportional transaction costs
• Portfolio optimization under model uncertainty and BSDE games
• Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
• scientific article; zbMATH DE number 5856010 (Why is no real title available?)
• A worst-case approach to continuous-time portfolio optimisation
• A note on the worst case approach for a market with a stochastic interest rate
• OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY
• Worst portfolios for dynamic monetary utility processes
• Optimal portfolios under worst-case scenarios
• Lifetime consumption and investment for worst-case crash scenarios
• Multi-asset worst-case optimal portfolios
• scientific article; zbMATH DE number 2247654 (Why is no real title available?)
• Robust portfolio optimization via solution to the Hamilton-Jacobi-Bellman equation
• Optimal portfolio choice with crash and default risk
• A robust investment-consumption optimization problem in a switching regime interest rate setting
• A BSDE approach to a risk-based optimal investment of an insurer
• Worst-case scenario portfolio optimization: a new stochastic control approach

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