Robust utility maximization with limited downside risk in incomplete markets

DOI10.1016/j.spa.2007.03.014zbMath1132.91422OpenAlexW2040139269MaRDI QIDQ2464861

Anne Gundel, Stefan Weber

Publication date: 17 December 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.03.014

zbMATH Keywords

semimartingalesconvex risk measuresrobust utility maximizationoptimal portfolio choiceutility-based shortfall risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (13)

A control approach to robust utility maximization with logarithmic utility and time-consistent penalties ⋮ PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT ⋮ Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time ⋮ Robust Framework for Quantifying the Value of Information in Pricing and Hedging ⋮ A level-set approach for stochastic optimal control problems under controlled-loss constraints ⋮ Portfolio insurance under a risk-measure constraint ⋮ Utility maximization under a shortfall risk constraint ⋮ Hedging under multiple risk constraints ⋮ Pricing and hedging in incomplete markets with model uncertainty ⋮ Asset allocation strategies in the presence of liability constraints ⋮ Portfolio optimization under shortfall risk constraint ⋮ MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS ⋮ Optimal Portfolio Choice Based on α-MEU Under Ambiguity

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