Robust Portfolio Choice and Indifference Valuation
From MaRDI portal
Publication:5247614
DOI10.1287/moor.2014.0646zbMath1310.91135OpenAlexW2125377415MaRDI QIDQ5247614
Mitja Stadje, Roger J. A. Laeven
Publication date: 24 April 2015
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: http://alexandria.tue.nl/repository/books/733411.pdf
jumpsincomplete marketsambiguity aversionportfolio choiceBSDEsconvex risk measuresindifference valuationrobust preferencesexponential and power utilityrecursiveness and time-consistency
Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (30)
Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver ⋮ On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples ⋮ Pricing Principle via Tsallis Relative Entropy in Incomplete Markets ⋮ Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition ⋮ Economic neutral position: how to best replicate not fully replicable liabilities? ⋮ On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation ⋮ Entropy based risk measures ⋮ Dynamic risk measures for processes via backward stochastic differential equations ⋮ Time-consistent actuarial valuations ⋮ Robust return risk measures ⋮ Ong−evaluations with domains under jump filtration ⋮ Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach ⋮ OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Mean-risk portfolio management with bankruptcy prohibition ⋮ Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals ⋮ Expected utility and catastrophic risk in a stochastic economy-climate model ⋮ Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures ⋮ Dynamically consistent investment under model uncertainty: the robust forward criteria ⋮ Pricing and hedging in incomplete markets with model uncertainty ⋮ Robust optimal risk sharing and risk premia in expanding pools ⋮ An Equilibrium Model for Spot and Forward Prices of Commodities ⋮ Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach ⋮ Optimal Stopping Under Uncertainty in Drift and Jump Intensity ⋮ Dynamic consumption and portfolio choice under prospect theory ⋮ A simple model on streamflow management with a dynamic risk measure ⋮ Ruin-based risk measures in discrete-time risk models ⋮ Time-consistency of risk measures: how strong is such a property? ⋮ Robust Portfolio Choice and Indifference Valuation ⋮ A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Forward-backward systems for expected utility maximization
- Adapted solution of a backward stochastic differential equation
- Representation of the penalty term of dynamic concave utilities
- Backward SDEs with superquadratic growth
- Backward stochastic differential equations with jumps and related nonlinear expectations
- A unified framework for utility maximization problems: An Orlicz space approach
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- Actuarial risk measures for financial derivative pricing
- Portfolio choice with jumps: a closed-form solution
- Maxmin expected utility with non-unique prior
- On intertemporal preferences in continuous time. The case of certainty
- Convex duality in constrained portfolio optimization
- I-divergence geometry of probability distributions and minimization problems
- Optimal portfolios for exponential Lévy processes.
- Recursive multiple-priors.
- Convex measures of risk and trading constraints
- Robust control and recursive utility
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
- Minimal supersolutions of convex BSDEs
- A comonotonic image of independence for additive risk measures
- Utility maximization in incomplete markets
- Dynamic exponential utility indifference valuation
- A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem
- Pricing Via Utility Maximization and Entropy
- Coherent Measures of Risk
- Robust exponential hedging in a Brownian setting
- No-Good-Deal, Local Mean-Variance and Ambiguity Risk Pricing and Hedging for an Insurance Payment Process
- Portfolio optimization under model uncertainty and BSDE games
- Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals
- COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
- Backward stochastic differential equations and integral-partial differential equations
- OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS
- RISK MEASURES ON ORLICZ HEARTS
- Risk Measures and Robust Optimization Problems
- Mean-Variance Hedging When There Are Jumps
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- Robust Preferences and Robust Portfolio Choice
- The Entropic Penalty Approach to Stochastic Programming
- Stochastic Differential Utility
- Transformation of H p -martingales by a change of law
- Backward Stochastic Differential Equations in Finance
- Exponential Hedging and Entropic Penalties
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- Financial Modelling with Jump Processes
- Risk Preferences and Their Robust Representation
- Entropy Coherent and Entropy Convex Measures of Risk
- FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES
- Robust Portfolio Choice and Indifference Valuation
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Conditional Risk Mappings
- On the Starting and Stopping Problem: Application in Reversible Investments
- On the Spanning Property of Risk Bonds Priced by Equilibrium
- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
- Option pricing when underlying stock returns are discontinuous
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Towards a General Theory of Good-Deal Bounds*
- A Generalized Stochastic Differential Utility
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
This page was built for publication: Robust Portfolio Choice and Indifference Valuation
