Robust exponential hedging in a Brownian setting

DOI10.14495/JSIAML.1.64zbMATH Open1278.65093OpenAlexW2012978793MaRDI QIDQ2858151FDOQ2858151

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

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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)

Cited In (8)

• Robust Portfolio Choice and Indifference Valuation
• On exponential hedging and related quadratic backward stochastic differential equations
• Robust portfolio selection under exponential preferences
• Dynamically consistent investment under model uncertainty: the robust forward criteria
• Efficient hedging of European options with robust convex loss functionals: a dual-representation formula
• Robust exponential hedging and indifference valuation
• Title not available (Why is that?)
• Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals

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