A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim
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Publication:2797756
DOI10.1137/15M1016357zbMath1368.91165MaRDI QIDQ2797756
Publication date: 31 March 2016
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/15m1016357
insurance; background risk; quantile formulation; robust control problem; behavioral finance model; continuous-time mean-variance problem; intractable claim
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
91G10: Portfolio theory
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