Terminal wealth maximization under drift uncertainty

DOI10.1080/02331934.2024.2324143MaRDI QIDQ6987152zbMATH OpenFDO

Authors Kerem Uğurlu

Publication date 7 May 2025

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331934.2024.2324143

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Cites work

• Algorithmic trading with model uncertainty
• American options and incomplete information
• Bayesian adaptive portfolio optimization
• Bayesian learning for the Markowitz portfolio selection problem
• Coherent measures of risk
• Duality theory for robust utility maximisation
• Markov decision processes under ambiguity
• On dynamic measure of risk
• On efficient portfolio selection using convex risk measures
• On general minimax theorems
• Optimal investment
• Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
• Portfolio management in a stochastic factor model under the existence of private information
• Pricing and hedging in incomplete markets with model uncertainty
• Risk Measures and Robust Optimization Problems
• Robust portfolio decisions for financial institutions
• Robust utility maximization with Lévy processes

Cited in

(2)

• The investment and reinsurance game on asset-liability management with common shock dependence under CEV model
• Convex and sphere packing approaches to portfolio optimization

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