WORST-CASE PORTFOLIO OPTIMIZATION IN A MARKET WITH BUBBLES

DOI10.1142/S0219024916500096zbMath1403.91304OpenAlexW3121308094MaRDI QIDQ2800049

Christoph Belak, Sören Christensen, Olaf Menkens

Publication date: 14 April 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500096

zbMATH Keywords

regime-switchingoptimal investmentfinancial bubblesworst case scenariomarket crashes

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10)

Cites Work

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• Worst-case portfolio optimization with proportional transaction costs
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• EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• FORWARD AND FUTURES PRICES WITH BUBBLES
• Applied Probability and Queues
• LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS
• DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING

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