Geodesic
Target achieving portfolio under model misspecification: quadratic optimization framework
Dariusz Zawisza1
1 Institute of Mathematics Faculty of Mathematics and Computer Science Jagiellonian University Łojasiewicza 6 30-348 Kraków, Poland
Applicationes Mathematicae, Tome 39 (2012) no. 4, pp. 425-443

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

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.
DOI : 10.4064/am39-4-3
Keywords: incorporate model uncertainty quadratic portfolio optimization framework consider incomplete continuous time market non tradable stochastic factor stochastic game problems formulated solved using hamilton jacobi bellman isaacs equations proof existence uniqueness solution resulting semilinear pde provided latter extend many portfolio optimization results

Dariusz Zawisza 1

1 Institute of Mathematics Faculty of Mathematics and Computer Science Jagiellonian University Łojasiewicza 6 30-348 Kraków, Poland 
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Dariusz Zawisza. Target achieving portfolio under model misspecification: quadratic optimization framework. Applicationes Mathematicae, Tome 39 (2012) no. 4, pp. 425-443. doi: 10.4064/am39-4-3

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