Optimal asset allocation: a worst scenario expectation approach

DOI10.1007/s10957-011-9972-6zbMath1267.91090OpenAlexW2002370620MaRDI QIDQ438769

Hailiang Yang, Fei Lung Yuen

Publication date: 31 July 2012

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/159899

zbMATH Keywords

incomplete marketrisk measureasset allocationinformation uncertaintyworst case scenario

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (2)

Optimal asset allocation: risk and information uncertainty ⋮ Robust portfolio optimization with multi-factor stochastic volatility

Cites Work

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