Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation

DOI10.1080/00207160.2013.871542zbMath1342.90125OpenAlexW1991036530MaRDI QIDQ5739574

Mária Trnovská, Soňa Kilianová

Publication date: 19 July 2016

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2013.871542

zbMATH Keywords

Hamilton-Jacobi-Bellman equationrobust portfolio optimizationoptimal investment problem

Mathematics Subject Classification ID

Semidefinite programming (90C22) Nonlinear parabolic equations (35K55) Stochastic models in economics (91B70) Hamilton-Jacobi equations in mechanics (70H20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Related Items

Nonlinear Parabolic Equations Arising in Mathematical Finance, Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem, Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation

Uses Software

• CVX

Cites Work

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