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Boundedness of the Value Function of the Worst-Case Portfolio Selection Problem with Linear Constraints

Nikolay Andreev

HSE Working papers from National Research University Higher School of Economics

Abstract: We study the boundedness properties of the value function for a general worst-case scenario stochastic dynamic programming problem. For the portfolio selection problem,we present sufficient economically reasonable conditions for the finitness and uniform boundedness of the value function. The results can be used to decide if the problem is ill-posed and to correctly solve the Bellman-Isaacs equation with an appropriate numeric scheme

Keywords: portfolio selection; Bellman-Isaacs equation; stochastic dynamic programming; value function; worst-case optimization (search for similar items in EconPapers)
JEL-codes: C61 C63 G11 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2017
New Economics Papers: this item is included in nep-dge and nep-ore
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Published in WP BRP Series: Financial Economics / FE, January 2017, pages - 22

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