A stochastic control approach to a robust utility maximization problem
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Publication:5436596
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Cited in
(42)- Continuous-time portfolio choice under monotone mean-variance preferences -- stochastic factor case
- Robust expected utility maximization with medial limits
- Dynamically consistent investment under model uncertainty: the robust forward criteria
- Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- A note on the strong formulation of stochastic control problems with model uncertainty
- Characterization of fully coupled FBSDE in terms of portfolio optimization
- The perturbation method applied to a robust optimization problem with constraint
- Robust utility maximization under convex portfolio constraints
- A robust investment-consumption optimization problem in a switching regime interest rate setting
- A robustness result for stochastic control
- Optimal investment and consumption with forward preferences and uncertain parameters
- Functional analytic approaches to some stochastic optimization problems
- Robust exponential hedging and indifference valuation
- Existence and uniqueness results for BSDE with jumps: the whole nine yards
- Equilibrium strategies for alpha-maxmin expected utility maximization
- Infinite horizon optimal control of forward-backward stochastic differential equations with delay
- Forward-backward stochastic differential games and stochastic control under model uncertainty
- Minimax identity with robust utility functional for a nonconcave utility
- Robust measurement of (heavy-tailed) risks: theory and implementation
- Robust stochastic control and equivalent martingale measures
- Portfolio liquidation under factor uncertainty
- Adaptive robust control under model uncertainty
- Robust Control Problems of BSDEs Coupled with Value Functions
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
- Robust utility maximization without model compactness
- Expected utility maximization problem under state constraints and model uncertainty
- Robust control and recursive utility
- Robust utility maximization for a diffusion market model with misspecified coefficients
- A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
- Optimal stochastic control problem under model uncertainty with nonentropy penalty
- A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
- Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
- Utility maximization under trading constraints with discontinuous utility
- Pricing and hedging in incomplete markets with model uncertainty
- Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
- Stochastic control of optimized certainty equivalents
- A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
- Portfolio optimization under nonlinear utility
- The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
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