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- W3084517635 abstract "We formulate a portfolio optimization problem as a game where the investor chooses a portfolio and his opponent, the market, chooses some market crashes. The asymmetry of the opponents' decision processes leads to a new and delicate generalization of the classical Hamilton-Jacob-Bellman equation in stochastic control. We characterize the optimal controls in general and specify them further in the cases of HARA, logarithmic, and exponential utility of the investor." @default.
- W3084517635 created "2020-09-21" @default.
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- W3084517635 date "2007-03-21" @default.
- W3084517635 modified "2023-09-27" @default.
- W3084517635 title "Worst Case Portfolio Optimization and HJB-Systems" @default.
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