Optimal Control of Favorable Games with Expected Loss Constraint

DOI10.1137/050623231MaRDI QIDQ3427777zbMATH OpenOpenAlexFDO

Authors Johannes Leitner

Publication date 27 March 2007

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

Full work available at URL https://doi.org/10.1137/050623231

zbMATH Keywords

constraint portfolio optimizationfavorable gamesgain-loss ratiogambling theoryinequalities for stochastic processesstochastic control

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15) Discrete-time games (91A50) Probabilistic games; gambling (91A60) Optimal stochastic control (93E20)

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Cited in

(3)

• Dynamic mean-risk optimization in a binomial model
• Optimal Control of Favorable Games with a Time Limit
• OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES

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