Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach.
Ralf KornOlaf MenkensPublished in: Math. Methods Oper. Res. (2005)
Keyphrases
- portfolio optimization
- worst case scenario
- stochastic control
- queueing systems
- worst case
- optimal control
- control problems
- operations management
- portfolio selection
- problems involving
- risk management
- brownian motion
- stock market
- bi objective
- robust optimization
- factor analysis
- optimization methods
- stock exchange
- upper bound
- stochastic processes
- stochastic process
- machine learning
- lower bound