On dynamic deviation measures and continuous-time portfolio optimization

DOI10.1214/17-AAP1282zbMath1382.60089arXiv1604.08037OpenAlexW2962770003MaRDI QIDQ1704138

Mitja Stadje, Martijn R. Pistorius

Publication date: 8 March 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.08037

zbMATH Keywords

portfolio optimizationtime-consistencydeviation measureextended HJB equation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Noncooperative games (91A10) Optimality conditions and duality in mathematical programming (90C46) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (1)

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