Robust utility maximization in terms of supermartingale measures

DOI10.3103/S0027132222010028zbMATH Open1503.60052MaRDI QIDQ2674656FDOQ2674656

Authors A. A. Farvazova 

Publication date 14 September 2022

Published in Moscow University Mathematics Bulletin (Search for Journal in Brave)

zbMATH Keywords

utility maximizationrobust utilitysupermartingale measure

Mathematics Subject Classification ID

Financial markets (91G15) Generalizations of martingales (60G48)

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Cites work

• scientific article; zbMATH DE number 1405955 (Why is no real title available?)
• A filtered version of the bipolar theorem of Brannath and Schachermayer
• Dual characterization of the value function in the robust utility maximization problem
• On an Extension of the Notion off-Divergence
• On the existence of an equivalent supermartingale density for a fork-convex family of stochastic processes
• Optional decompositions under constraints
• Stochastic finance. An introduction in discrete time
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets

Cited in

(2)

• Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging
• Dual characterization of the value function in the robust utility maximization problem

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