The continuous-time pre-commitment KMM problem in incomplete markets

DOI10.1214/25-AAP2191MaRDI QIDQ6927560zbMATH OpenFDO

Authors Guohui Guan, Zongxia Liang, Yilun Song

Publication date 18 September 2025

Published in The Annals of Applied Probability (Search for Journal in Brave)

zbMATH Keywords

efficient frontiersmooth ambiguityincomplete financial marketdistorted duality theorempre-commitment KMM problem

Mathematics Subject Classification ID

Financial markets (91G15)

This page was built for publication: The continuous-time pre-commitment KMM problem in incomplete markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6927560)