Robust utility maximization under model uncertainty via a penalization approach
Ivan Guo, Nicolas Langrené, Grégoire Loeper, Wei Ning
| Year of publication: |
2022
|
|---|---|
| Authors: | Guo, Ivan ; Langrené, Nicolas ; Loeper, Grégoire ; Ning, Wei |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9660, ZDB-ID 2389109-9. - Vol. 16.2022, 1, p. 51-88
|
| Subject: | Robust portfolio optimization | GANs | Monte Carlo | HJBI equation | Differential games | Portfolio-Management | Portfolio selection | Theorie | Theory | Robustes Verfahren | Robust statistics | Entscheidung unter Unsicherheit | Decision under uncertainty | Monte-Carlo-Simulation | Monte Carlo simulation | Mathematische Optimierung | Mathematical programming | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-021-00301-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013167700