Worst-case portfolio optimization in a market with bubbles
Christoph Belak (Department IV, Mathematics, University of Trier, Trier, Germany), Sören Christensen (Department of Mathematical Sciences, Chalmers University of Technology and Göteborg University, Göteborg, Sweden), Olaf Menkens (School of Mathematical Sciences, Dublin City University, Dublin, Ireland)
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Belak, Christoph ; Christensen, Sören ; Menkens, Olaf |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 2, p. 1-36
|
| Subject: | Optimal investment | market crashes | worst-case scenario | regime-switching | financial bubbles | Spekulationsblase | Bubbles | Portfolio-Management | Portfolio selection | Finanzkrise | Financial crisis | Finanzmarkt | Financial market | Kapitalmarkttheorie | Financial economics | Anlageverhalten | Behavioural finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500096 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011454368