A quantile game for portfolio construction in the Ornstein-Uhlenbeck model (Q2694175)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A quantile game for portfolio construction in the Ornstein-Uhlenbeck model |
scientific article |
Statements
A quantile game for portfolio construction in the Ornstein-Uhlenbeck model (English)
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28 March 2023
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Ornstein-Uhlenbeck process
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financial market
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quantile optimization
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zero-sum games
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saddle point
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