Optimal portfolios in the presence of stress scenarios a worst-case approach
From MaRDI portal
Publication:2120596
DOI10.1007/s11579-021-00304-2zbMath1484.91428OpenAlexW3193499174MaRDI QIDQ2120596
Publication date: 1 April 2022
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-021-00304-2
constrained optimizationoptimal portfoliosindifference principleminimum constant portfoliostress scenarios
Related Items (2)
Optimal dynamic reinsurance with worst-case default of the reinsurer ⋮ OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK
Cites Work
- Unnamed Item
- The robust Merton problem of an ambiguity averse investor
- Worst-case scenario portfolio optimization: a new stochastic control approach
- Worst case model risk management
- Worst-case scenario investment for insurers
- OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
- Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach
- On Worst-Case Portfolio Optimization
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES
- MULTI-ASSET WORST-CASE OPTIMAL PORTFOLIOS
- Ambiguity in portfolio selection
- Optimal Investments for Robust Utility Functionals in Complete Market Models
This page was built for publication: Optimal portfolios in the presence of stress scenarios a worst-case approach