OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK

DOI10.1142/S0219024922500236zbMath1498.91402OpenAlexW4288691778MaRDI QIDQ5866980

Lukas Müller

Publication date: 22 September 2022

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

Full work available at URL: https://doi.org/10.1142/s0219024922500236

zbMATH Keywords

defaultconstrained optimizationcrashoptimal portfoliosworst-case scenariominimum constant portfolio

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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