Optimal investment in a general stochastic factor framework under model uncertainty
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Publication:6154310
DOI10.3934/jdg.2023011OpenAlexW4386772642MaRDI QIDQ6154310
Publication date: 15 February 2024
Published in: Journal of Dynamics and Games (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jdg.2023011
Bellman-Isaacs equationrobust optimizationportfolio managementstochastic differential gamesstochastic factor model
Applications of game theory (91A80) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)
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