Multi-asset worst-case optimal portfolios
Ralf Korn and Elisabeth Leoff
| Year of publication: |
2019
|
|---|---|
| Authors: | Korn, Ralf ; Leoff, Elisabeth |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 4, p. 1-24
|
| Subject: | Optimal portfolios | crash scenarios | indifference principle | HJB equation | constrained optimization | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500195 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012030905