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A worst-case approach for interest rate stresses and stock crashes - MaRDI portal

A worst-case approach for interest rate stresses and stock crashes

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Publication:5091796

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DOI10.1093/imaman/dpab019OpenAlexW3170774194MaRDI QIDQ5091796

Marcel Beißer, Leander Geisinger, Ralf Korn

Publication date: 27 July 2022

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpab019

zbMATH Keywords

interest rate shocks optimal portfolios worst-case optimization stress scenarios

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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