Worst-case scenario portfolio optimization: a new stochastic control approach
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Publication:814888
DOI10.1007/s00186-005-0444-3zbMath1132.91469OpenAlexW2072147144MaRDI 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 strategiesoptimal portfoliosBellman principleworst-case scenariochanging market coefficientscrash modelling
Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Portfolio theory (91G10)
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