Robust portfolio selection under exponential preferences
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Publication:3561059
DOI10.4064/am37-2-6zbMath1247.91175OpenAlexW2049180274MaRDI QIDQ3561059
Publication date: 21 May 2010
Published in: Applicationes Mathematicae (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4064/am37-2-6
Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10) Hamilton-Jacobi theories (49L99)
Related Items (6)
Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case ⋮ Optimal investment in a general stochastic factor framework under model uncertainty ⋮ Robust consumption-investment problem on infinite horizon ⋮ A note on the worst case approach for a market with a stochastic interest rate ⋮ Robust portfolio decisions for financial institutions ⋮ On the parabolic equation for portfolio problems
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