MULTI-ASSET WORST-CASE OPTIMAL PORTFOLIOS

DOI10.1142/S0219024919500195zbMath1411.91515OpenAlexW2937832742WikidataQ128013915 ScholiaQ128013915MaRDI QIDQ5384683

Elisabeth Leoff, Ralf Korn

Publication date: 24 June 2019

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

Full work available at URL: https://doi.org/10.1142/s0219024919500195

zbMATH Keywords

constrained optimizationHJB equationoptimal portfoliosindifference principlecrash scenarios

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

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Optimal portfolios in the presence of stress scenarios a worst-case approach, Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure, OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK

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