scientific article; zbMATH DE number 1867086

zbMATH Open1038.91038MaRDI QIDQ4792520FDOQ4792520

Authors: Arunabha Bagchi, K. Suresh Kumar 

Publication date: 2002

Title of this publication is not available (Why is that?)

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zbMATH Keywords

financial mathematiccapital-at-riskportfolio slection

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)

Cited In (10)

• A parametric analysis of a nonlinear asset allocation management model
• The equivalence of dynamic and static asset allocations under the uncertainty caused by Poisson processes
• Nonparametric predictor selection in asset management
• On the equivalence of the static and dynamic asset allocation problems
• Title not available (Why is that?)
• The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
• Optimal Asset Allocation with Asymptotic Criteria
• Dynamic asset allocation under VaR constraint with stochastic interest rates
• Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach
• Dynamic portfolio selection under capital-at-risk with no short-selling constraints

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