A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome

DOI10.1111/1467-9965.t01-1-00177zbMath1105.91022OpenAlexW3125290964MaRDI QIDQ4825512

Yonggan Zhao, Ulrich G. Haussmann, William T. Ziemba

Publication date: 28 October 2004

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.t01-1-00177

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (4)

Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control ⋮ Asset allocation with distorted beliefs and transaction costs ⋮ Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation ⋮ OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and stochastic integrals in the theory of continuous trading
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