Worst-case scenario portfolio optimization: A new stochastic control approach

Mathematical Methods of Operations Research

Volumn 62, Issue 1, 2005, Pages 123-140

  Korn, Ralf ^a   Menkens, Olaf ^b  

^a University of Koblenz Landau   (Germany)

^b UNIVERSITY OF ESSEX   (United Kingdom)

Author keywords

Bellman principle; Changing market coefficients; Crash modelling; Equilibrium strategies; Optimal portfolios; Worst case scenario

Indexed keywords

DIFFERENTIAL EQUATIONS; MARKETING; MATHEMATICAL MODELS; OPTIMIZATION;

BELLMAN PRINCIPLE; CHANGING MARKET COEFFICIENTS; CRASH MODELING; EQUILIBRIUM STRATEGIES; OPTIMAL PORTFOLIOS; WORST-CASE SCENARIO;

STOCHASTIC CONTROL SYSTEMS;

EID: 24344465264     PISSN: 14322994     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00186-005-0444-3     Document Type: Conference Paper

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