Robust exponential hedging in a Brownian setting

DOI10.14495/jsiaml.1.64zbMath1278.65093OpenAlexW2012978793MaRDI QIDQ2858151

Keita Owari

Publication date: 19 November 2013

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jsiaml&kijiCd=1_0_64&screenID=AF06S010&noVol=1&noIssue=0

zbMATH Keywords

stochastic controldualityrobust utility maximizationHamilton-Jacobi-Bellmann (HJB) equationBrownian factor model

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Numerical methods based on nonlinear programming (49M37) Existence theories for optimal control problems involving partial differential equations (49J20) Existence of optimal solutions to problems involving randomness (49J55)

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Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals ⋮ Dynamically consistent investment under model uncertainty: the robust forward criteria ⋮ Robust Portfolio Choice and Indifference Valuation

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