Robust projections in the class of martingale measures

zbMATH1099.94016MaRDI QIDQ2505477FDOQ2505477

Authors Hans Föllmer, Anne Gundel

Publication date 26 September 2006

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

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)

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Cited in

(21)

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

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