Maximin investment problems for discounted and total wealth

DOI10.1093/IMAMAN/DPM031zbMath1213.91138OpenAlexW3121949510MaRDI QIDQ5452006

Nikolai G. 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

zbMATH Keywords

stochastic controlminimax problemsoptimal portfoliorobust performance criterion

Mathematics Subject Classification ID

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

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