MULTI-ASSET WORST-CASE OPTIMAL PORTFOLIOS (Q5384683)
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scientific article; zbMATH DE number 7072675
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MULTI-ASSET WORST-CASE OPTIMAL PORTFOLIOS |
scientific article; zbMATH DE number 7072675 |
Statements
MULTI-ASSET WORST-CASE OPTIMAL PORTFOLIOS (English)
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24 June 2019
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optimal portfolios
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crash scenarios
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indifference principle
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HJB equation
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constrained optimization
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