Worst-case optimal investment with a random number of crashes

DOI10.1016/J.SPL.2014.03.021zbMath1303.91151OpenAlexW3121661753MaRDI QIDQ2453936

Olaf Menkens, Christoph Belak, Sören Christensen

Publication date: 11 June 2014

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

Full work available at URL: http://doras.dcu.ie/19936/1/bubble_model_stat_prob_let__OAV.pdf

zbMATH Keywords

market crashesoptimization of expected utilityworst-case optimal investment

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

Related Items (4)

Strict local martingales and optimal investment in a Black–Scholes model with a bubble ⋮ WORST-CASE PORTFOLIO OPTIMIZATION IN A MARKET WITH BUBBLES ⋮ Worst-case portfolio optimization with proportional transaction costs ⋮ LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS

Cites Work

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• On Worst-Case Portfolio Optimization
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS
• CRASH HEDGING STRATEGIES AND WORST-CASE SCENARIO PORTFOLIO OPTIMIZATION

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