Optimal Investment with Bounded VaR for Power Utility Functions (Q4561929)
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scientific article; zbMATH DE number 6993391
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Investment with Bounded VaR for Power Utility Functions |
scientific article; zbMATH DE number 6993391 |
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Optimal Investment with Bounded VaR for Power Utility Functions (English)
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13 December 2018
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portfolio optimization
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stochastic optimal control
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risk constraints
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value-at-risk
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