Robust worst-case optimal investment
DOI10.1007/S00291-014-0370-YzbMATH Open1317.93269OpenAlexW3121677600MaRDI QIDQ2516638FDOQ2516638
Authors: Sascha Desmettre, Ralf Korn, P. Ruckdeschel, Frank Thomas Seifried 
Publication date: 3 August 2015
Published in: OR Spectrum (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00291-014-0370-y
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Minimax procedures in statistical decision theory (62C20) Portfolio theory (91G10) Optimal stochastic control (93E20)
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Cited In (12)
- Title not available (Why is that?)
- Optimal investment for worst-case crash scenarios: a martingale approach
- Equilibrium investment with random risk aversion
- Lifetime consumption and investment for worst-case crash scenarios
- Worst-case optimal investment with a random number of crashes
- Financial optimization: optimization paradigms and financial planning under uncertainty
- Best-case scenario robust portfolio: evidence from China stock market
- Robust portfolio optimization: a categorized bibliographic review
- Title not available (Why is that?)
- Worst-case portfolio optimization in discrete time
- Worst-case scenario investment for insurers
- OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY
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