Recommendations
Cites work
- A worst-case approach to continuous-time portfolio optimisation
- scientific article; zbMATH DE number 1200330 (Why is no real title available?)
- Lifetime consumption and investment for worst-case crash scenarios
- On Worst-Case Portfolio Optimization
- Optimal investment for worst-case crash scenarios: a martingale approach
- OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
- Worst-case scenario investment for insurers
- Worst-case scenario portfolio optimization: a new stochastic control approach
Cited in
(13)- Worst-case portfolio optimization in discrete time
- Optimal portfolios in the presence of stress scenarios a worst-case approach
- Worst-case portfolio optimization in a market with bubbles
- On Worst-Case Portfolio Optimization
- A worst-case approach to continuous-time portfolio optimisation
- Multi-Portfolio Optimization: A Potential Game Approach
- AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS
- Worst portfolios for dynamic monetary utility processes
- Optimal portfolios under worst-case scenarios
- Optimal portfolio choice with crash and default risk
- Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure
- Drawdown minimization in asset portfolio selection: MINLP models and efficient cross-entropy algorithm
- Worst-case scenario portfolio optimization: a new stochastic control approach
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