Worst-Case Portfolio Optimization and Stochastic Control References

Table of Links

Abstract and 1. Introduction

2. Financial Market Model and Worst-Case Optimization Problem

3. Solution to the Post-Crash Problem

4. Solution to the Pre-Crash Problem

5. A BSDE Characterization of Indifferences Strategies

6. The Markovian Case

7. Numerical Experiments

Acknowledgments and References

Appendix A. Proofs from Section 3

Appendix B. Proofs of BASDE Results from Section 5

Appendix C. Proofs of (CIR) Results from Section 6

Acknowledgements

We wish to thank the participants of the Stochastic Models and Control Workshop 2017 in Trier and from the London Mathematical Finance Seminar Series for useful comments and discussions.

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