Reaching goals under ambiguity: continuous-time optimal portfolio selection

DOI10.1016/j.spl.2018.01.010zbMath1419.91584OpenAlexW2789627108MaRDI QIDQ1640926

Shaolin Ji, Xiao-Min Shi

Publication date: 14 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.01.010

zbMATH Keywords

ambiguitymin-max theoremoptimal portfolio selectionreaching goals

Mathematics Subject Classification ID

Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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• Reaching goals by a deadline: digital options and continuous-time active portfolio management