Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets (Q6054387)
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scientific article; zbMATH DE number 7743042
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets |
scientific article; zbMATH DE number 7743042 |
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Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets (English)
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28 September 2023
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distributionally robust optimization
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Davis marginal utility price
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model uncertainty
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optimal investment
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robust finance
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sensitivity analysis
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Wasserstein distance
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