A stochastic control approach to a robust utility maximization problem

zbMATH Open1130.93056MaRDI QIDQ5436596FDOQ5436596

Authors: Giuliana Bordigoni, Anis Matoussi, Martin Schweizer 

Publication date: 17 January 2008

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zbMATH Keywords

model uncertaintyrelative entropyrobust controlstochastic controlutility maximizationmultiple priorsquadratic BSDErobust utilityentropic penaltymartingale optimality principle

Mathematics Subject Classification ID

Utility theory (91B16) Sensitivity (robustness) (93B35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Control/observation systems with incomplete information (93C41) Optimal stochastic control (93E20)

Cited In (41)

• Expected utility maximization problem under state constraints and model uncertainty
• Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
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• OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY
• Adaptive Robust Control under Model Uncertainty
• Portfolio liquidation under factor uncertainty
• Robust stochastic control and equivalent martingale measures
• A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
• Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case
• Dynamically consistent investment under model uncertainty: the robust forward criteria
• Robust utility maximization for a diffusion market model with misspecified coefficients
• Pricing and hedging in incomplete markets with model uncertainty
• The perturbation method applied to a robust optimization problem with constraint
• Robust control and recursive utility
• Robust expected utility maximization with medial limits
• Stochastic Control of Optimized Certainty Equivalents
• Portfolio optimization under nonlinear utility
• A robustness result for stochastic control
• Forward-backward stochastic differential games and stochastic control under model uncertainty
• A robust investment-consumption optimization problem in a switching regime interest rate setting
• Infinite horizon optimal control of forward-backward stochastic differential equations with delay
• Minimax identity with robust utility functional for a nonconcave utility
• Robust utility maximization without model compactness
• A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
• Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
• Robust measurement of (heavy-tailed) risks: theory and implementation
• Characterization of fully coupled FBSDE in terms of portfolio optimization
• Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization
• The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
• Utility Maximization Under Trading Constraints with Discontinuous Utility
• Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
• Robust Control Problems of BSDEs Coupled with Value Functions
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
• Robust utility maximization under convex portfolio constraints
• Robust exponential hedging and indifference valuation
• Optimal investment and consumption with forward preferences and uncertain parameters
• A robust Markowitz mean-variance portfolio selection model with an intractable claim
• Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
• Optimal investments for risk- and ambiguity-averse preferences: a duality approach

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