ROBUST UTILITY MAXIMIZATION IN A MULTIVARIATE FINANCIAL MARKET WITH STOCHASTIC DRIFT

DOI10.1142/S0219024921500205zbMath1470.91263arXiv2009.14559OpenAlexW3171993262MaRDI QIDQ5010073

Jörn Sass, Dorothee Westphal

Publication date: 24 August 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.14559

zbMATH Keywords

minimax theoremsportfolio optimizationstochastic filteringdrift uncertaintyrobust strategies

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10) Financial markets (91G15)

Related Items (2)

Robust utility maximizing strategies under model uncertainty and their convergence ⋮ OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT

Cites Work

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