Robust projections in the class of martingale measures

zbMATH Open1099.94016MaRDI QIDQ2505477FDOQ2505477

Authors: Hans Föllmer, Anne Gundel 

Publication date: 26 September 2006

Published in: Illinois Journal of Mathematics (Search for Journal in Brave)

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zbMATH Keywords

mathematical analysis of financial risktheory of optimal portfolio choiceutility criterion

Mathematics Subject Classification ID

Measures of information, entropy (94A17) Generalizations of martingales (60G48) Utility theory (91B16) Martingales with continuous parameter (60G44) Duality theory (optimization) (49N15)

Cited In (21)

• A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
• Optimal arbitrage under model uncertainty
• Robust optimal control for a consumption-investment problem
• Supermartingales as Radon-Nikodym densities and related measure extensions
• On optimal arbitrage
• Dynamically consistent investment under model uncertainty: the robust forward criteria
• The existence of dominating local martingale measures
• Robust utility maximization for a diffusion market model with misspecified coefficients
• Robust utility maximization with limited downside risk in incomplete markets
• A robust investment-consumption optimization problem in a switching regime interest rate setting
• Robust utility maximization without model compactness
• A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
• On admissible strategies in robust utility maximization
• Optimal stochastic control problem under model uncertainty with nonentropy penalty
• Probabilistic aspects of finance
• Asymptotics of robust utility maximization
• Optional projection under equivalent local martingale measures
• Maximum Lebesgue extension of monotone convex functions
• Robust maximization of asymptotic growth
• Utility maximization under a shortfall risk constraint
• Optimal investments for risk- and ambiguity-averse preferences: a duality approach

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