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

Ralf Korn, Olaf Menkens. Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach. Math. Meth. of OR, 62(1):123-140, 2005. [doi]

Authors

Ralf Korn

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Olaf Menkens

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