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)

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zbMATH Keywords

utility maximizationrobust utilitysupermartingale measure

Mathematics Subject Classification ID

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

Cites Work

• Optional decompositions under constraints
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Stochastic finance. An introduction in discrete time
• A filtered version of the bipolar theorem of Brannath and Schachermayer
• Title not available (Why is that?)
• On an Extension of the Notion off-Divergence
• Dual characterization of the value function in the robust utility maximization problem
• On the existence of an equivalent supermartingale density for a fork-convex family of stochastic processes

Cited In (2)

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

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