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Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach - MaRDI portal

Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach (Q5219546)

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scientific article; zbMATH DE number 7179745
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Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach
scientific article; zbMATH DE number 7179745

    Statements

    title
    Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach (English)
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    author
    Xing Jin
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    Dan Luo
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    Xudong Zeng
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    publication date
    12 March 2020
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    zbMATH Keywords
    optimal investment
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    ambiguity aversion
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    duality method
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    jump diffusion
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    worst-case scenario
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    cites work
    Q5566063
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    Identifiers

    zbMATH DE Number
    7179745
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    OpenAlex ID
    W2615715988
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