Worst-case scenario portfolio optimization: a new stochastic control approach
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Publication:814888
DOI10.1007/s00186-005-0444-3zbMath1132.91469MaRDI QIDQ814888
Publication date: 8 February 2006
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: http://doras.dcu.ie/507/1/math_meth_62_1_2005.pdf
equilibrium strategies; optimal portfolios; Bellman principle; worst-case scenario; changing market coefficients; crash modelling
49L20: Dynamic programming in optimal control and differential games
90C39: Dynamic programming
93E20: Optimal stochastic control
91G10: Portfolio theory
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