Boundedness of the Value Function of the Worst-Case Portfolio Selection Problem with Linear Constraints
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References listed on IDEAS
- Vathana Ly Vath & Mohamed Mnif & Huyên Pham, 2007. "A model of optimal portfolio selection under liquidity risk and price impact," Finance and Stochastics, Springer, vol. 11(1), pages 51-90, January.
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More about this item
Keywords
portfolio selection; Bellman-Isaacs equation; stochastic dynamic programming; value function; worst-case optimization;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DGE-2017-02-05 (Dynamic General Equilibrium)
- NEP-ORE-2017-02-05 (Operations Research)
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