Maximin investment problems for discounted and total wealth

DOI10.1093/IMAMAN/DPM031zbMATH Open1213.91138OpenAlexW3121949510MaRDI QIDQ5452006FDOQ5452006

Authors: Nikolai Dokuchaev 

Publication date: 27 March 2008

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpm031

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zbMATH Keywords

minimax problemsstochastic controloptimal portfoliorobust performance criterion

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Optimal stochastic control (93E20)

Cited In (5)

• Robust utility maximization for a diffusion market model with misspecified coefficients
• Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
• Title not available (Why is that?)
• On the structure of multifactor optimal portfolio strategies
• Title not available (Why is that?)

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