Portfolio optimization under model uncertainty and BSDE games
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Publication:2866379
DOI10.1080/14697688.2011.615219zbMath1277.91159OpenAlexW2160392227MaRDI QIDQ2866379
Publication date: 13 December 2013
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00570532/file/RR-7554.pdf
portfolio optimizationmodel uncertaintystochastic differential gamesexponential utilityItō-Lévy processesBSDEe
Differential games (aspects of game theory) (91A23) Other game-theoretic models (91A40) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)
Related Items (20)
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Cites Work
- A BSDE approach to a risk-based optimal investment of an insurer
- Backward stochastic differential equations with jumps and related nonlinear expectations
- Continuous-time stochastic control and optimization with financial applications
- Backward-forward SDE's and stochastic differential games
- Utility maximization in incomplete markets
- Dynamic exponential utility indifference valuation
- Backward stochastic PDEs related to the utility maximization problem
- Backward Stochastic Differential Equations in Finance
- MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
- Applied stochastic control of jump diffusions
- White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
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