Optimal Investments for Robust Utility Functionals in Complete Market Models

DOI10.1287/moor.1040.0138zbMath1082.91052OpenAlexW2148244260MaRDI QIDQ5704248

Publication date: 11 November 2005

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/889ff944c45df4a358733d70b5f2a1294f231d5a

zbMATH Keywords

utility maximization Knightian uncertainty Huber-Strassen theory least favorable measure robust Savage representation robust utility functional uncertain drift

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

Related Items (37)

Optimal portfolios in the presence of stress scenarios a worst-case approach ⋮ Robust utility maximizing strategies under model uncertainty and their convergence ⋮ Optimal investments for the standard maximization problem with non-concave utility function in complete market model ⋮ Optimal consumption and portfolio choice with ambiguous interest rates and volatility ⋮ A control approach to robust utility maximization with logarithmic utility and time-consistent penalties ⋮ Robust expected utility maximization with medial limits ⋮ Probabilistic aspects of finance ⋮ Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing ⋮ Partial super-hedging of derivatives with model risk ⋮ On utility maximization under model uncertainty in discrete‐time markets ⋮ Equilibrium investment with random risk aversion ⋮ Service center location problems with decision dependent utilities and a pandemic case study ⋮ Minimax identity with robust utility functional for a nonconcave utility ⋮ Asymptotics of robust utility maximization ⋮ OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT ⋮ Vector majorization and a robust option replacement trading strategy ⋮ Optimal investments for risk- and ambiguity-averse preferences: a duality approach ⋮ Utility maximization under a shortfall risk constraint ⋮ Quantile hedging in a semi-static market with model uncertainty ⋮ Recursive utility optimization with concave coefficients ⋮ ERRATUM TO “BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME” ⋮ Robust optimal control for a consumption-investment problem ⋮ Dynamically consistent investment under model uncertainty: the robust forward criteria ⋮ Robust Utility Maximization without Model Compactness ⋮ Recursive utility maximization for terminal wealth under partial information ⋮ MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS ⋮ Robust worst-case optimal investment ⋮ Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization ⋮ ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES ⋮ Bipolar behavior of submodular, law-invariant capacities ⋮ Consumption-investment problem with pathwise ambiguity under logarithmic utility ⋮ LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS ⋮ Risk Measures and Robust Optimization Problems ⋮ ROBUST UTILITY MAXIMIZATION IN A MULTIVARIATE FINANCIAL MARKET WITH STOCHASTIC DRIFT ⋮ A CONCISE CHARACTERIZATION OF OPTIMAL CONSUMPTION WITH LOGARITHMIC PREFERENCES ⋮ Vigilant measures of risk and the demand for contingent claims ⋮ OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK

This page was built for publication: Optimal Investments for Robust Utility Functionals in Complete Market Models