Target achieving portfolio under model misspecification: quadratic optimization framework

Dariusz Zawisza. "Target achieving portfolio under model misspecification: quadratic optimization framework." Applicationes Mathematicae 39.4 (2012): 425-443. <http://eudml.org/doc/279891>.

@article{DariuszZawisza2012,
abstract = {We incorporate model uncertainty into a quadratic portfolio optimization framework. We consider an incomplete continuous time market with a non-tradable stochastic factor. Two stochastic game problems are formulated and solved using Hamilton-Jacobi-Bellman-Isaacs equations. The proof of existence and uniqueness of a solution to the resulting semilinear PDE is also provided. The latter can be used to extend many portfolio optimization results.},
author = {Dariusz Zawisza},
journal = {Applicationes Mathematicae},
keywords = {robust control; stochastic differential games; model uncertainty; quadratic optimization; quadratic hedging; Knightian uncertainty},
language = {eng},
number = {4},
pages = {425-443},
title = {Target achieving portfolio under model misspecification: quadratic optimization framework},
url = {http://eudml.org/doc/279891},
volume = {39},
year = {2012},
}

TY - JOUR
AU - Dariusz Zawisza
TI - Target achieving portfolio under model misspecification: quadratic optimization framework
JO - Applicationes Mathematicae
PY - 2012
VL - 39
IS - 4
SP - 425
EP - 443
AB - We incorporate model uncertainty into a quadratic portfolio optimization framework. We consider an incomplete continuous time market with a non-tradable stochastic factor. Two stochastic game problems are formulated and solved using Hamilton-Jacobi-Bellman-Isaacs equations. The proof of existence and uniqueness of a solution to the resulting semilinear PDE is also provided. The latter can be used to extend many portfolio optimization results.
LA - eng
KW - robust control; stochastic differential games; model uncertainty; quadratic optimization; quadratic hedging; Knightian uncertainty
UR - http://eudml.org/doc/279891
ER -