Robust Portfolio Selection under State-dependent Confidence Set

MaRDI QIDQ6746547arXivFDO

Authors Guohui Guan, Yuting Jia, Zongxia Liang

Publication date 2024

Published in arXiv

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Stochastic models in economics (91B70)

arXiv classification

math.OC

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