Robust exponential hedging in a Brownian setting

DOI10.14495/JSIAML.1.64MaRDI QIDQ2858151zbMATH OpenOpenAlexFDO

Authors Keita Owari

Publication date 19 November 2013

Published in JSIAM Letters (Search for Journal in Brave)

Full work available at URL https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jsiaml&kijiCd=1_0_64&screenID=AF06S010&noVol=1&noIssue=0

zbMATH Keywords

dualitystochastic controlrobust utility maximizationHamilton-Jacobi-Bellmann (HJB) equationBrownian factor model

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Numerical methods based on nonlinear programming (49M37) Existence theories for optimal control problems involving partial differential equations (49J20) Existence of optimal solutions to problems involving randomness (49J55)

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(10)

• Dynamically consistent investment under model uncertainty: the robust forward criteria
• Three essays on exponential hedging with variable exit times
• Robust exponential hedging and indifference valuation
• Robust portfolio selection under exponential preferences
• Efficient hedging of European options with robust convex loss functionals: a dual-representation formula
• Characterization of the value process in robust efficient hedging
• Robust portfolio choice and indifference valuation
• On exponential hedging and related quadratic backward stochastic differential equations
• scientific article; zbMATH DE number 2131684 (Why is no real title available?)
• Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals

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