On Worst-Case Portfolio Optimization

DOI10.1137/060657145zbMath1149.93038MaRDI QIDQ3544225

Mogens Steffensen, Ralf Korn

Publication date: 5 December 2008

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/060657145

zbMATH Keywords

Hamilton-Jacobi-Bellman equation; stochastic differential games; utility optimization; market crash

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G10: Portfolio theory

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