Robust exponential hedging in a Brownian setting (Q2858151)
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scientific article; zbMATH DE number 6229405
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| English | Robust exponential hedging in a Brownian setting |
scientific article; zbMATH DE number 6229405 |
Statements
Robust exponential hedging in a Brownian setting (English)
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19 November 2013
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robust utility maximization
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stochastic control
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duality
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Brownian factor model
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Hamilton-Jacobi-Bellmann (HJB) equation
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0.8566981554031372
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0.8340635299682617
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0.8180944323539734
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0.8044282793998718
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0.8019495010375977
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