Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach

DOI10.1287/moor.1100.0459zbMath1284.91531OpenAlexW1986242012MaRDI QIDQ3169107

Frank Thomas Seifried

Publication date: 27 April 2011

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.1100.0459

zbMATH Keywords

optimal investmentworst-case scenariomarket crashcontroller-vs-stopper gameindifference strategy

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

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