Optimal portfolios in the presence of stress scenarios a worst-case approach

DOI10.1007/s11579-021-00304-2zbMath1484.91428OpenAlexW3193499174MaRDI QIDQ2120596

Lukas Müller, Ralf Korn

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

zbMATH Keywords

constrained optimizationoptimal portfoliosindifference principleminimum constant portfoliostress scenarios

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (2)

Optimal dynamic reinsurance with worst-case default of the reinsurer ⋮ OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK

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