Robust utility maximization in a multivariate financial market with stochastic drift
Jörn Sass and Dorothee Westphal
| Year of publication: |
2021
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|---|---|
| Authors: | Sass, Jörn ; Westphal, Dorothee |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 4, p. 1-28
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| Subject: | drift uncertainty | minimax theorems | Portfolio optimization | robust strategies | stochastic filtering | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Robustes Verfahren | Robust statistics | Finanzmarkt | Financial market | Entscheidung unter Unsicherheit | Decision under uncertainty | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024921500205 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012652713