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Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach · Study

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ArticleWorst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach

Ralf Korn2005

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Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach

Ralf Korn · Olaf Menkens

49 citations·0/0 files stored·Mathematical Methods of Operations Research

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Risk and Portfolio Optimization Stochastic processes and financial applications Probability and Risk Models

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References

1976Option pricing when underlying stock returns are discontinuous 1997Modelling Extremal Events 2005Controlled Markov Processes and Viscosity Solutions 1994Controlled markov processes and viscosity solutions 2001Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics 1984Optimum portfolio diversification in a general continuous-time model 2000Option Pricing and Portfolio Optimization 2002OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH

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2010Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach

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Year2005

Typearticle

Published2005-09-01

VenueMathematical Methods of Operations Research

ISSN-L1432-2994

Languageen

Citations49

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s00186-005-0444-3

openalex_workW2072147144

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