Robust Utility Maximization without Model Compactness
DOI10.1137/140985718zbMath1368.91163arXiv1405.0251OpenAlexW2291202709MaRDI QIDQ2797753
J. Backhoff-Veraguas, Joaquin Fontbona
Publication date: 31 March 2016
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1405.0251
Orlicz spacemodular spacerobust utility maximizationentropy minimizationnoncompact uncertainty setworst-case measure
Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Financial applications of other theories (91G80) Duality theory (optimization) (49N15) Portfolio theory (91G10)
Related Items (7)
Cites Work
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