Robust portfolio control with stochastic factor dynamics

DOI10.1287/OPRE.2013.1180MaRDI QIDQ5166253zbMATH OpenOpenAlexFDO

Authors Paul Glasserman, Xingbo Xu

Publication date 26 June 2014

Published in Operations Research (Search for Journal in Brave)

Full work available at URL http://pubsonline.informs.org/doi/abs/10.1287/opre.2013.1180, https://semanticscholar.org/paper/3c4a194e1d277c0e7a3ceecc12ff55032d49d229

zbMATH Keywords

robustnessportfolio optimizationrelative entropytransaction costs

Mathematics Subject Classification ID

Portfolio theory (91G10)

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