Maximin investment problems for discounted and total wealth

DOI10.1093/IMAMAN/DPM031MaRDI QIDQ5452006zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

minimax problemsstochastic controloptimal portfoliorobust performance criterion

Mathematics Subject Classification ID

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

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• Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
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