Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization (Q5227410): Difference between revisions

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+CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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+On time-inconsistent stochastic control in continuous time
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+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
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+Implications of the Sharpe ratio as a performance measure in multi-period settings
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+Time-consistent mean-variance portfolio selection in discrete and continuous time
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+Preference and belief: ambibiguity and competence in choice under uncertainty
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+Robust utility maximization in a stochastic factor model
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+A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
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+Time-Inconsistent Stochastic Linear--Quadratic Control
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+Continuous exponential martingales and BMO
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+A Smooth Model of Decision Making under Ambiguity
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+Worst-case scenario portfolio optimization: a new stochastic control approach
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+Alpha-robust mean-variance reinsurance-investment strategy
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+Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences
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+Probabilistic Sophistication and Multiple Priors
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+ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL
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+Portfolio optimization under model uncertainty and BSDE games
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+Adapted solution of a backward stochastic differential equation
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+Optimal Investments for Robust Utility Functionals in Complete Market Models
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+Optimal investments for risk- and ambiguity-averse preferences: a duality approach
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+Duality theory for optimal investments under model uncertainty
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+Robust utility maximization for a diffusion market model with misspecified coefficients
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+A class of globally solvable Markovian quadratic BSDE systems and applications
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+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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