Optimal portfolios under worst-case scenarios

DOI10.1080/14697688.2013.836282zbMath1308.91136OpenAlexW3122846639MaRDI QIDQ5245025

Jit Seng Chen, Carole Bernard, Steven Vanduffel

Publication date: 1 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.836282

zbMATH Keywords

cost-efficiencyrisk diversificationgrowth optimal portfoliostate-dependent preferencesbehavioural portfolio selectionpath-dependent strategies

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (6)

Rationalizing investors' choices ⋮ Additive portfolio improvement and utility-efficient payoffs ⋮ IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON WEALTH ⋮ Optimal payoffs under state-dependent preferences ⋮ Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection ⋮ A new efficiency test for ranking investments: application to hedge fund performance

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