Robust worst-case optimal investment

DOI10.1007/s00291-014-0370-yzbMath1317.93269OpenAlexW3121677600MaRDI QIDQ2516638

Frank Thomas Seifried, Ralf Korn, Sascha Desmettre, Peter Ruckdeschel

Publication date: 3 August 2015

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-014-0370-y

zbMATH Keywords

efficiencyrobust optimizationworst casemin-max approachknightian uncertaintycrash scenario

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Minimax procedures in statistical decision theory (62C20) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (7)

Robust portfolio optimization: a categorized bibliographic review ⋮ OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY ⋮ Unnamed Item ⋮ Best-case scenario robust portfolio: evidence from China stock market ⋮ Equilibrium investment with random risk aversion ⋮ Worst-case portfolio optimization in discrete time ⋮ Financial optimization: optimization paradigms and financial planning under uncertainty

Uses Software

• R
• ROME
• ROptEst

Cites Work

• Unnamed Item
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