Worst-Case Portfolio Optimization & Hyperbolic Graph Clustering

Table of Links Abstract and 1. Introduction 2. Financial Market Model and Worst-Case Optimization Problem 3. Solution to the Post-Crash Problem 4. Solution to the Pre-Crash Problem 5. A BSDE Characterization of Indifferences Strategies 6. The Markovian Case 7. Numerical Experiments Acknowledgments and References Appendix A. Proofs from Section 3 Appendix B. Proofs of BASDE … Read more