On Worst-Case Portfolio Optimization

DOI10.1137/060657145zbMath1149.93038OpenAlexW2095040186MaRDI QIDQ3544225

Mogens Steffensen, Ralf Korn

Publication date: 5 December 2008

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/060657145

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic differential gamesutility optimizationmarket crash

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (16)

Optimal portfolios in the presence of stress scenarios a worst-case approach ⋮ ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT ⋮ OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY ⋮ Worst-case-optimal dynamic reinsurance for large claims ⋮ Stochastic differential portfolio games for an insurer in a jump-diffusion risk process ⋮ A BSDE approach to a risk-based optimal investment of an insurer ⋮ A robust investment-consumption optimization problem in a switching regime interest rate setting ⋮ Optimal investment and consumption when allowing terminal debt ⋮ MULTI-ASSET WORST-CASE OPTIMAL PORTFOLIOS ⋮ Worst-case optimal investment with a random number of crashes ⋮ Robust optimal control for a consumption-investment problem ⋮ Worst-case portfolio optimization in discrete time ⋮ Worst-case portfolio optimization with proportional transaction costs ⋮ Robust worst-case optimal investment ⋮ LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS ⋮ OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK

This page was built for publication: On Worst-Case Portfolio Optimization