A class of portfolio optimization solvable problems
Yuyang Cheng, Marcos Escobar-Anel
| Year of publication: |
2023
|
|---|---|
| Authors: | Cheng, Yuyang ; Escobar, Marcos |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 52.2023, p. 1-10
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| Subject: | Ambiguity aversion | Expected utility theory | HJB equation | Optimal control | Stochastic volatility | Portfolio-Management | Portfolio selection | Erwartungsnutzen | Expected utility | Stochastischer Prozess | Stochastic process | Risikoaversion | Risk aversion | Mathematische Optimierung | Mathematical programming | Volatilität | Volatility | Kontrolltheorie | Control theory | Entscheidung unter Unsicherheit | Decision under uncertainty |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.103373 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014472208