Optimal Investments for Robust Utility Functionals in Complete Market Models
From MaRDI portal
(Redirected from Publication:5704248)
Recommendations
- Robust utility maximization for complete and incomplete markets
- Duality theory for optimal investments under model uncertainty
- Robust utility maximizing strategies under model uncertainty and their convergence
- Optimal investment under model uncertainty in nondominated models
- Optimal long term investment under model ambiguity.
Cited in
(58)- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Robust expected utility maximization with medial limits
- Partial super-hedging of derivatives with model risk
- Quantile hedging in a semi-static market with model uncertainty
- Dynamically consistent investment under model uncertainty: the robust forward criteria
- Recursive utility maximization for terminal wealth under partial information
- On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
- On admissible strategies in robust utility maximization
- Recursive utility optimization with concave coefficients
- Bipolar behavior of submodular, law-invariant capacities
- 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
- Consumption-investment problem with pathwise ambiguity under logarithmic utility
- Vigilant measures of risk and the demand for contingent claims
- 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 utility maximization with limited downside risk in incomplete markets
- Robust optimal control for a consumption-investment problem
- Robust utility maximization for complete and incomplete markets
- Robust worst-case optimal investment
- Robust utility maximization without model compactness
- Optimal investment under model uncertainty in nondominated models
- A concise characterization of optimal consumption with logarithmic preferences
- Robust utility maximization with unbounded random endowment
- Robust asset allocation with benchmarked objectives
- Risk Measures and Robust Optimization Problems
- Robust utility maximization for a diffusion market model with misspecified coefficients
- Optimal long term investment under model ambiguity.
- scientific article; zbMATH DE number 5710727 (Why is no real title available?)
- Erratum to ``Behavioral portfolio selection in continuous time
- Probabilistic aspects of finance
- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
- Robust maximization of asymptotic growth
- Robust utility maximization with Lévy processes
- Robust utility maximization in a multivariate financial market with stochastic drift
- Model uncertainty and expert opinions in continuous-time financial markets
- Equilibrium strategies for alpha-maxmin expected utility maximization
- Lifetime consumption and investment for worst-case crash scenarios
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- Duality theory for optimal investments under model uncertainty
- Robust utility maximization of terminal wealth with drift and volatility uncertainty
- Optimal portfolio choice with crash and default risk
- Robust utility maximisation with intractable claims
- On utility maximization under model uncertainty in discrete‐time markets
- Equilibrium investment with random risk aversion
- Robust generalized Merton-type financial portfolio models with generalized utility
- Service center location problems with decision dependent utilities and a pandemic case study
- Minimax identity with robust utility functional for a nonconcave utility
- OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT
- Cost-efficient payoffs under model ambiguity
- The continuous-time pre-commitment KMM problem in incomplete markets
- Robust concave utility maximization over chance constraints
- Optimal payoffs under smooth ambiguity
- Optimal consumption and portfolio choice with ambiguous interest rates and volatility
- Vector majorization and a robust option replacement trading strategy
- Utility maximization under a shortfall risk constraint
This page was built for publication: Optimal Investments for Robust Utility Functionals in Complete Market Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5704248)
