Worst-case portfolio optimization in a market with bubbles

Keyphrases

• Crash 100%
• Portfolio Optimization 100%
• Value Function 50%
• Numerical Examples 50%
• Coupled System 50%
• Optimal Strategy 50%
• System of Ordinary Differential Equations 50%
• Crash Scenarios 50%
• Expected Utility 50%
• Utility Maximization Problem 50%
• Hamilton-Jacobi-Bellman Equation 50%
• Risky Assets 50%
• Regime-switching Model 50%
• Asset Price Bubbles 50%

Mathematics

• Worst Case 100%
• Function Value 33%
• System Of Ordinary Differential Equations 33%
• random time δ 33%
• Optimal Strategy 33%
• Asset Price 33%
• Bellman Equation 33%
• Numerical Example 33%
• Risky Asset 33%
• Utility Maximization 33%

Economics, Econometrics and Finance

• Investors 100%
• Portfolio Selection 100%
• Price 33%
• Utility Maximization 33%
• Regime Switching 33%