Forward robust portfolio selection: the binomial case
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Publication:6543815
DOI10.3934/PUQR.2024006zbMATH Open1537.91289MaRDI QIDQ6543815
Publication date: 25 May 2024
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
optimal portfolioforward performance processeslinear utilitiesbinomial caseforward robust portfolio selectionquadratic utilitiesrobust forward performance criteria
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Related Items (3)
Mean field and \(n\)-player games in Ito-diffusion markets under forward performance criteria ⋮ Rank-dependent predictable forward performance processes ⋮ Optimal liquidation with dynamic parameter updating: a forward approach
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