Portfolio optimization under model uncertainty and BSDE games (Q2866379)
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scientific article; zbMATH DE number 6238223
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization under model uncertainty and BSDE games |
scientific article; zbMATH DE number 6238223 |
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Portfolio optimization under model uncertainty and BSDE games (English)
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13 December 2013
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model uncertainty
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portfolio optimization
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exponential utility
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BSDEe
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stochastic differential games
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Itō-Lévy processes
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