Dynamic utility maximization with bounded shortfall risks

DOI10.1002/PAMM.200510335zbMath1391.91147OpenAlexW2132541859MaRDI QIDQ3177092

Ralf Wunderlich, Abdelali Gabih

Publication date: 26 July 2018

Published in: PAMM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/pamm.200510335

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

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