Optimal Portfolios Under Bounded Shortfall Risk and Partial Information.

Ralf Wunderlich Jörn Sass Abdelali Gabih

Published in: OR (2006)

Keyphrases

partial information
incomplete information
asymptotically optimal
portfolio optimization
decision making
conditional expectation
optimal control
worst case
risk management
optimal strategy
risk neutral
optimal portfolio
lower bound
dynamic programming
risk averse
expected loss