ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES (Q4635032): Difference between revisions

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+POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS
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+Robust utility maximization for a diffusion market model with misspecified coefficients
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+Worst case model risk management
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+On general minimax theorems
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+Risk Measures and Robust Optimization Problems
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+UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME
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+The Bellman equation for power utility maximization with semimartingales
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+The opportunity process for optimal consumption and investment with power utility
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+Nonlinear Lévy processes and their characteristics
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+Measurability of semimartingale characteristics with respect to the probability law
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+ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL
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+NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT
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+UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS
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+Optimal portfolios for exponential Lévy processes.
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+Optimal Investment under Model Uncertainty in Nondominated Models
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+Q3240992
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