Optimal Investments for Robust Utility Functionals in Complete Market Models

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

Alexander Schied

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

60G44: Martingales with continuous parameter

91B26: Auctions, bargaining, bidding and selling, and other market models

Related Items

MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS, Vector majorization and a robust option replacement trading strategy, Utility maximization under a shortfall risk constraint, A control approach to robust utility maximization with logarithmic utility and time-consistent penalties, Asymptotics of robust utility maximization, Optimal investments for risk- and ambiguity-averse preferences: a duality approach, Robust optimal control for a consumption-investment problem, ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES, Risk Measures and Robust Optimization Problems, ERRATUM TO “BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME”