Abstract
We survey some recent developments in the area of continuous-time portfolio optimization. These will include the use of options and of defaultable assets as investment classes and the presentation of a worst-case investment approach that takes the possibility of stock market crashes into account.
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Korn, R. Optimal portfolios: new variations of an old theme. Comput Manage Sci 5, 289–304 (2008). https://doi.org/10.1007/s10287-007-0054-z
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DOI: https://doi.org/10.1007/s10287-007-0054-z