Exponential utility maximization under model uncertainty for unbounded endowments (Q670752): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q115517779
@@ Property / Wikidata QID: Q115517779 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.00999
@@ Property / arXiv ID: 1610.00999 / rank @@
+Normal rank
@@ Property / cites work @@
+A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
+Normal rank
@@ Property / cites work @@
+Robust Utility Maximization without Model Compactness
+Normal rank
@@ Property / cites work @@
+Conditional nonlinear expectations
@@ Property / cites work: Conditional nonlinear expectations / rank @@
+Normal rank
@@ Property / cites work @@
+Computational aspects of robust optimized certainty equivalents and option pricing
+Normal rank
@@ Property / cites work @@
+Model-independent bounds for option prices -- a mass transport approach
+Normal rank
@@ Property / cites work @@
+Complete duality for martingale optimal transport on the line
+Normal rank
@@ Property / cites work @@
+Stochastic optimal control. The discrete time case
+Normal rank
@@ Property / cites work @@
+Multiple-priors optimal investment in discrete time for unbounded utility function
+Normal rank
@@ Property / cites work @@
+Arbitrage and duality in nondominated discrete-time models
+Normal rank
@@ Property / cites work @@
+Pointwise Arbitrage Pricing Theory in Discrete Time
+Normal rank
@@ Property / cites work @@
+COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
+Normal rank
@@ Property / cites work @@
+Duality for increasing convex functionals with countably many marginal constraints
+Normal rank
@@ Property / cites work @@
+Duality Formulas for Robust Pricing and Hedging in Discrete Time
+Normal rank
@@ Property / cites work @@
+Exponential Hedging and Entropic Penalties
@@ Property / cites work: Exponential Hedging and Entropic Penalties / rank @@
+Normal rank
@@ Property / cites work @@
+Q4039824
@@ Property / cites work: Q4039824 / rank @@
+Normal rank
@@ Property / cites work @@
+Utility Maximization with Proportional Transaction Costs Under Model Uncertainty
+Normal rank
@@ Property / cites work @@
+Optimal Investment under Model Uncertainty in Nondominated Models
+Normal rank
@@ Property / cites work @@
+Q4388221
@@ Property / cites work: Q4388221 / rank @@
+Normal rank
@@ Property / cites work @@
+Quantile hedging
@@ Property / cites work: Quantile hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
+Normal rank
@@ Property / cites work @@
+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
+Normal rank
@@ Property / cites work @@
+Maxmin expected utility with non-unique prior
@@ Property / cites work: Maxmin expected utility with non-unique prior / rank @@
+Normal rank
@@ Property / cites work @@
+Robust utility maximization for complete and incomplete markets
+Normal rank
@@ Property / cites work @@
+Robust hedging of the lookback option
@@ Property / cites work: Robust hedging of the lookback option / rank @@
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Local martingales and the fundamental asset pricing theorems in the discrete-time case
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+On a strong form of propagation of chaos for McKean-Vlasov equations
+Normal rank
@@ Property / cites work @@
+Measurable Selections and the Uniformization of Souslin Sets
+Normal rank
@@ Property / cites work @@
+Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
+Normal rank
@@ Property / cites work @@
+Dynamic exponential utility indifference valuation
+Normal rank
@@ Property / cites work @@
+ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES
@@ Property / cites work: ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+Nonconcave robust optimization with discrete strategies under Knightian uncertainty
+Normal rank
@@ Property / cites work @@
+Robust Utility Maximization in Discrete-Time Markets with Friction
+Normal rank
@@ Property / cites work @@
+UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME
+Normal rank
@@ Property / cites work @@
+Constructing sublinear expectations on path space
@@ Property / cites work: Constructing sublinear expectations on path space / rank @@
+Normal rank
@@ Property / cites work @@
+Robust utility maximization with unbounded random endowment
+Normal rank
@@ Property / cites work @@
+Q5436616
@@ Property / cites work: Q5436616 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3154984
@@ Property / cites work: Q3154984 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk Measures and Robust Optimization Problems
@@ Property / cites work: Risk Measures and Robust Optimization Problems / rank @@
+Normal rank
@@ Property / cites work @@
+On general minimax theorems
@@ Property / cites work: On general minimax theorems / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:670752