Robust utility maximization under model uncertainty via a penalization approach
Ivan Guo, Nicolas Langrené, Grégoire Loeper, Wei Ning
| Year of publication: |
2022
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|---|---|
| Authors: | Guo, Ivan ; Langrené, Nicolas ; Loeper, Grégoire ; Ning, Wei |
| 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://ebvufind01.dmz1.zbw.eu/10013167700