Robust Preferences and Robust Portfolio Choice
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Cited in
(53)- Multiple-priors optimal investment in discrete time for unbounded utility function
- Partial super-hedging of derivatives with model risk
- Optimal initial capital induced by the optimized certainty equivalent
- Dynamically consistent investment under model uncertainty: the robust forward criteria
- On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
- Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
- Robust utility maximization under model uncertainty via a penalization approach
- Forward-backward stochastic differential games and stochastic control under model uncertainty
- Expected utility maximization problem under state constraints and model uncertainty
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Robust utility maximization with limited downside risk in incomplete markets
- Robust worst-case optimal investment
- Compactness in spaces of inner regular measures and a general portmanteau lemma
- The maximum maximum of a martingale with given \(n\) marginals
- Robust exponential hedging and indifference valuation
- Risk Measures and Robust Optimization Problems
- Duality in a Problem of Static Partial Hedging under Convex Constraints
- scientific article; zbMATH DE number 5348177 (Why is no real title available?)
- Probabilistic aspects of finance
- scientific article; zbMATH DE number 1795843 (Why is no real title available?)
- Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\)
- scientific article; zbMATH DE number 910775 (Why is no real title available?)
- A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
- Star-Shaped Risk Measures
- The robust Merton problem of an ambiguity averse investor
- OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY
- Risk aversion in regulatory capital principles
- Dynamic robust duality in utility maximization
- Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
- Robust portfolio choice and indifference valuation
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES
- Optimal portfolio policies under bounded expected loss and partial information
- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
- Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making
- On utility maximization under model uncertainty in discrete‐time markets
- Equilibrium investment with random risk aversion
- Risk measures under model uncertainty: a Bayesian viewpoint
- Distributionally robust reinsurance with expectile
- A robust investment-consumption optimization problem in a switching regime interest rate setting
- Conditional value-at-risk in portfolio optimization: coherent but fragile
- Optimal stopping with dynamic variational preferences
- Optimal investment in ambiguous financial markets with learning
- Optimal arbitrage under model uncertainty
- The perturbation method applied to a robust optimization problem with constraint
- Cost-efficient payoffs under model ambiguity
- Stackelberg risk preference design
- Robust no-arbitrage under projective determinacy
- On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility
- Discrete time optimal investment under model uncertainty
- Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity
- Optimal consumption and portfolio choice with ambiguous interest rates and volatility
- Robust portfolios: contributions from operations research and finance
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