Reaching goals under ambiguity: continuous-time optimal portfolio selection
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Cites work
- A comonotonic theorem for BSDEs
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation
- Continuous-time portfolio selection under ambiguity
- Maximizing the probability of a perfect hedge
- Optimal Control of Favorable Games with a Time Limit
- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
- Reaching goals by a deadline: digital options and continuous-time active portfolio management
- Stochastic target problems with controlled loss
- Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
Cited in
(6)- Continuous-time portfolio selection under ambiguity
- Target achieving portfolio under model misspecification: quadratic optimization framework
- Reaching goals by a deadline: digital options and continuous-time active portfolio management
- Personalized goal-based investing via multi-stage stochastic goal programming
- Goal achieving probabilities of constrained mean-variance strategies
- Optimal investment strategies with bounded risks, general utilities, and goal achieving
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