Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle

DOI10.1080/07362994.2020.1864405zbMath1482.90234arXiv1908.03905OpenAlexW3118375620MaRDI QIDQ3383684

Diganta Mukherjee, Subhojit Biswas, Mrinal K. Ghosh

Publication date: 16 December 2021

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.03905

zbMATH Keywords

dynamic programmingstochastic maximum principleHamiltonian systemportfolio optimizationfinanceheavy tailed distribution

Mathematics Subject Classification ID

Dynamic programming (90C39) Financial applications of other theories (91G80) Portfolio theory (91G10)

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