Worst-case portfolio optimization in discrete time

DOI10.1007/s00186-019-00668-8zbMath1431.91356OpenAlexW2942891964WikidataQ127954572 ScholiaQ127954572MaRDI QIDQ2009178

Ralf Korn, Li-Hua Chen

Publication date: 27 November 2019

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-019-00668-8

zbMATH Keywords

optimal strategydynamic programmingutility functiondiscrete-time settingmarket crashworst-case portfolio optimization

Mathematics Subject Classification ID

Utility theory (91B16) Dynamic programming (90C39) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items

Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Markov decision processes with applications to finance.
• Worst-case scenario portfolio optimization: a new stochastic control approach
• Worst-case scenario investment for insurers
• Robust worst-case optimal investment
• Worst-case portfolio optimization with proportional transaction costs
• OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
• Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach
• On Worst-Case Portfolio Optimization
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS