Robust utility maximization for a diffusion market model with misspecified coefficients
From MaRDI portal
Publication:354194
DOI10.1007/s00780-012-0199-7zbMath1270.91027arXiv0911.3043MaRDI QIDQ354194
Tamaz Uzunashvili, Teimuraz Toronjadze, Revaz Tevzadze
Publication date: 18 July 2013
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0911.3043
saddle point; Hamilton-Jacobi-Bellman-Isaacs equation; generalized control; maximin problem; robust utility maximization
90C47: Minimax problems in mathematical programming
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91B16: Utility theory
60H30: Applications of stochastic analysis (to PDEs, etc.)
91B26: Auctions, bargaining, bidding and selling, and other market models
Related Items
Stochastic optimal control problem with infinite horizon driven by G-Brownian motion, Robust Utility Maximization in Discrete-Time Markets with Friction, ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION, ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES, Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences, Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity, Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization, ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL, Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space, A robust investment-consumption optimization problem in a switching regime interest rate setting, Stability of utility maximization in nonequivalent markets, Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion, Robust utility maximisation in markets with transaction costs, Nonconcave robust optimization with discrete strategies under Knightian uncertainty, Duality theory for robust utility maximisation, Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty, Good deal hedging and valuation under combined uncertainty about drift and volatility, Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs, Reduced-form framework under model uncertainty, Reduced-form framework for multiple ordered default times under model uncertainty, UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME, Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions, Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Wellposedness of second order backward SDEs
- Exponential utility maximization under partial information
- Worst-case scenario portfolio optimization: a new stochastic control approach
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Geometric theory of semilinear parabolic equations
- Necessary conditions without differentiability assumptions in unilateral control problems
- Continuous exponential martingales and BMO
- Worst case model risk management
- Uncertain volatility models -- theory and application
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints.
- On dynamic measure of risk
- Optimal robust mean-variance hedging in incomplete financial markets
- A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
- Solvability of backward stochastic differential equations with quadratic growth
- Robust optimal control for a consumption-investment problem
- Robust utility maximization for complete and incomplete markets
- Robust projections in the class of martingale measures
- Robust utility maximization in a stochastic factor model
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- Misspecified asset price models and robust hedging strategies
- Optimal hedging strategies for misspecified asset price models
- Stochastic differential games and viscosity solutions of Isaacs equations
- Maximin investment problems for discounted and total wealth
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Robust Statistics