Robust Worst-Case Optimal Investment

Sascha Desmettre; Ralf Korn; Peter Ruckdeschal; Frank Thomas Seifried

doi:10.1007/s00291-014-0370-y

Robust Worst-Case Optimal Investment

Sascha Desmettre
, Ralf Korn
, Peter Ruckdeschal
, Frank Thomas Seifried

Institute of Financial Mathematics and Applied Number Theory

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	677-701
Number of pages	25
Journal	OR Spectrum
Volume	37
Issue number	3
DOIs	https://doi.org/10.1007/s00291-014-0370-y
Publication status	Published - Jul 2014

Fields of science

101 Mathematics
101007 Financial mathematics
101019 Stochastics
101025 Number theory

JKU Focus areas

Digital Transformation
Transformation in Finance and Financial Institutions

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10.1007/s00291-014-0370-y

Cite this

@article{95c65b073c1f4a9bb00e01817d7d3086,

title = "Robust Worst-Case Optimal Investment",

author = "Sascha Desmettre and Ralf Korn and Peter Ruckdeschal and Seifried, \{Frank Thomas\}",

year = "2014",

month = jul,

doi = "10.1007/s00291-014-0370-y",

language = "English",

volume = "37",

pages = "677--701",

journal = "OR Spectrum",

issn = "1436-6304",

publisher = "Springer Berlin",

number = "3",

}

TY - JOUR

T1 - Robust Worst-Case Optimal Investment

AU - Desmettre, Sascha

AU - Korn, Ralf

AU - Ruckdeschal, Peter

AU - Seifried, Frank Thomas

PY - 2014/7

Y1 - 2014/7

UR - https://www.scopus.com/pages/publications/84931578616

U2 - 10.1007/s00291-014-0370-y

DO - 10.1007/s00291-014-0370-y

M3 - Article

SN - 1436-6304

VL - 37

SP - 677

EP - 701

JO - OR Spectrum

JF - OR Spectrum

IS - 3

ER -

Robust Worst-Case Optimal Investment

Fields of science

JKU Focus areas

Access to Document

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