Robust utility maximization in a stochastic factor model

DOI10.1524/stnd.2006.24.1.109zbMath1186.91229OpenAlexW2108312960MaRDI QIDQ3417653

Daniel Hernández-Hernández, Alexander Schied

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

zbMATH Keywords

optimal controlstochastic volatilityincomplete marketscoherent risk measuresconvex dualitymodel uncertaintyoptimal investment

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50)

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