A note on the worst case approach for a market with a stochastic interest rate (Q4614223)
From MaRDI portal
scientific article; zbMATH DE number 7008606
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the worst case approach for a market with a stochastic interest rate |
scientific article; zbMATH DE number 7008606 |
Statements
A note on the worst case approach for a market with a stochastic interest rate (English)
0 references
30 January 2019
0 references
robust optimization
0 references
stochastic differential games
0 references
model uncertainty
0 references
portfolio optimization
0 references
martingale measure
0 references
Vasicek model
0 references
Hull-White model
0 references
0 references
