Optimization of dynamic portfolio under model uncertainty

DOI10.3969/J.ISSN.0253-2778.2014.03.005MaRDI QIDQ2924711zbMATH OpenFDO

Authors Minxiu Yu, Weiyin Fei, Huiying Lü

Publication date 3 November 2014

Published in Journal of University of Science and Technology of China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3969/J.ISSN.0253-2778.2014.03.005

zbMATH Keywords

dual theoryMarkovian switching modelmartingale methodmodel uncertaintyoptimal portfolio

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10)

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