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A quantile game for portfolio construction in the Ornstein-Uhlenbeck model - MaRDI portal

A quantile game for portfolio construction in the Ornstein-Uhlenbeck model

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Publication:2694175

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DOI10.1007/S10598-023-09560-XOpenAlexW4315650601MaRDI QIDQ2694175

T. N. Polushkin, V. V. Morozov

Publication date: 28 March 2023

Published in: Computational Mathematics and Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10598-023-09560-x

zbMATH Keywords

zero-sum games Ornstein-Uhlenbeck process saddle point financial market quantile optimization

Mathematics Subject Classification ID

Noncooperative games (91A10) Applications of game theory (91A80) Diffusion processes (60J60) Portfolio theory (91G10)

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