scientific article; zbMATH DE number 5012679
From MaRDI portal
Publication:3375609
Recommendations
- scientific article; zbMATH DE number 2133118
- On stability of Pareto-optimal solution of portfolio optimization problem with Savage's minimax risk criteria
- Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
- On the parabolic equation for portfolio problems
- scientific article; zbMATH DE number 3881060
- scientific article; zbMATH DE number 7703289
- Risk-sensitive portfolio optimization problems with fixed income securities
- A solution guaranteed for a risk-neutral person to a one-criterion problem: an analog of the vector saddle point
Cited in
(3)- Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance
- On extension of the domain for analytical approximate solution of one class of nonlinear differential equations of the second order in a complex domain
- Stackelberg stochastic differential games in feedback information pattern with applications
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3375609)