Differentiability of the value function in the robust utility maximization problem

DOI10.1137/S0040585X97985431zbMATH Open1258.91061OpenAlexW2001990530MaRDI QIDQ4905018FDOQ4905018

Authors: I. S. Morozov 

Publication date: 14 February 2013

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97985431

Recommendations

• Dual characterization of the value function in the robust utility maximization problem
• On the properties of dynamic value functions in the problem of optimal investment in incomplete markets
• On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
• Duality theory for robust utility maximisation
• On regularity of dynamic value function related to the utility maximization problem

zbMATH Keywords

powerdifferentiability of value functionexponential or logarithmic utility functionsrobust utility maximization problem

Mathematics Subject Classification ID

Utility theory (91B16)

Cited In (2)

• On robustness of set-valued maps and marginal value functions
• On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets

This page was built for publication: Differentiability of the value function in the robust utility maximization problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4905018)