Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation† (Q5427771)
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scientific article; zbMATH DE number 5214619
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation† |
scientific article; zbMATH DE number 5214619 |
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Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation† (English)
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27 November 2007
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continuous-time market models
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uncertainty
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minimax problems
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optimal portfolio
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saddle point
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