Robust utility maximization in a stochastic factor model
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Publication:3417653
DOI10.1524/stnd.2006.24.1.109zbMath1186.91229MaRDI QIDQ3417653
Alexander Schied, Daniel Hernández-Hernández
Publication date: 30 January 2007
Published in: Statistics & Risk Modeling (Search for Journal in Brave)
Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2006-007.pdf
optimal control; stochastic volatility; incomplete markets; coherent risk measures; convex duality; model uncertainty; optimal investment
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
91G80: Financial applications of other theories
91G50: Corporate finance (dividends, real options, etc.)
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