Worst-case portfolio optimization in discrete time
DOI10.1007/S00186-019-00668-8zbMATH Open1431.91356OpenAlexW2942891964WikidataQ127954572 ScholiaQ127954572MaRDI QIDQ2009178FDOQ2009178
Authors: Ralf Korn, Lihua Chen 
Publication date: 27 November 2019
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-019-00668-8
Recommendations
dynamic programmingoptimal strategyutility functiondiscrete-time settingmarket crashworst-case portfolio optimization
Dynamic programming (90C39) Portfolio theory (91G10) Utility theory (91B16) Financial applications of other theories (91G80)
Cites Work
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Cited In (14)
- Worst portfolios for dynamic monetary utility processes
- Closed-form solutions to discrete-time portfolio optimization problems
- Optimal portfolio choice with crash and default risk
- Multi-asset worst-case optimal portfolios
- The worst-case discounted regret portfolio optimization problem
- Worst-case portfolio optimization in a market with bubbles
- Worst-case scenario portfolio optimization: a new stochastic control approach
- Portfolio management under drawdown constraint in discrete-time financial markets
- A worst-case approach to continuous-time portfolio optimisation
- Optimal portfolios: new variations of an old theme
- Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure
- A new approach for worst-case regret portfolio optimization problem
- Worst-case portfolio optimization with proportional transaction costs
- On Worst-Case Portfolio Optimization
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