Robust Utility Maximization without Model Compactness

SIAM Journal on Financial Mathematics ◽

10.1137/140985718 ◽

2016 ◽

Vol 7 (1) ◽

pp. 70-103 ◽

Author(s):

Julio D. Backhoff Veraguas ◽

Joaquín Fontbona

Keyword(s):

Utility Maximization ◽

Robust Utility Maximization

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Robust Utility Maximization in Discrete-Time Markets with Friction

SIAM Journal on Control and Optimization ◽

10.1137/16m1101829 ◽

2018 ◽

Vol 56 (3) ◽

pp. 1912-1937 ◽

Author(s):

Ariel Neufeld ◽

Mario Šikić

Keyword(s):

Discrete Time ◽

Utility Maximization ◽

Robust Utility Maximization

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Dual Characterization of the Value Function in the Robust Utility Maximization Problem

Theory of Probability and Its Applications ◽

10.1137/s0040585x9798508x ◽

2011 ◽

Vol 55 (4) ◽

pp. 611-630 ◽

Author(s):

A. A. Gushchin

Keyword(s):

Utility Maximization ◽

Value Function ◽

Maximization Problem ◽

Robust Utility Maximization ◽

Utility Maximization Problem ◽

The Value Function

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ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL

Mathematical Finance ◽

10.1111/mafi.12031 ◽

2013 ◽

Vol 25 (2) ◽

pp. 258-287 ◽

Author(s):

Anis Matoussi ◽

Dylan Possamaï ◽

Chao Zhou

Keyword(s):

Utility Maximization ◽

Volatility Model ◽

Uncertain Volatility ◽

Robust Utility Maximization

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Asymptotics of robust utility maximization

The Annals of Applied Probability ◽

10.1214/11-aap764 ◽

2012 ◽

Vol 22 (1) ◽

pp. 172-212 ◽

Author(s):

Thomas Knispel

Keyword(s):

Utility Maximization ◽

Robust Utility Maximization

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Differentiability of the Value Function in the Robust Utility Maximization Problem

Theory of Probability and Its Applications ◽

10.1137/s0040585x97985431 ◽

2012 ◽

Vol 56 (2) ◽

pp. 327-337

Author(s):

I. S. Morozov

Keyword(s):

Utility Maximization ◽

Value Function ◽

Maximization Problem ◽

Robust Utility Maximization ◽

Utility Maximization Problem ◽

The Value Function

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A control approach to robust utility maximization with logarithmic utility and time-consistent penalties

Stochastic Processes and their Applications ◽

10.1016/j.spa.2006.11.005 ◽

2007 ◽

Vol 117 (8) ◽

pp. 980-1000 ◽

Author(s):

Daniel Hernández-Hernández ◽

Alexander Schied

Keyword(s):

Utility Maximization ◽

Control Approach ◽

Logarithmic Utility ◽

Robust Utility Maximization

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A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging

SIAM Journal on Financial Mathematics ◽

10.1137/20m1336023 ◽

2021 ◽

Vol 12 (3) ◽

pp. 1226-1256

Author(s):

Tao Chen ◽

Michael Ludkovski

Keyword(s):

Machine Learning ◽

Utility Maximization ◽

Learning Approach ◽

Machine Learning Approach ◽

Robust Utility Maximization

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Robust utility maximization with unbounded random endowment

Advances in Mathematical Economics ◽

10.1007/978-4-431-53883-7_7 ◽

2011 ◽

pp. 147-181 ◽

Author(s):

Keita Owari

Keyword(s):

Utility Maximization ◽

Robust Utility Maximization ◽

Random Endowment

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Robust Utility Maximization in a Multivariate Financial Market with Stochastic Drift

International Journal of Theoretical and Applied Finance ◽

10.1142/s0219024921500205 ◽

2021 ◽

Author(s):

Jorn Sass ◽

Dorothee Westphal

Keyword(s):

Financial Market ◽

Utility Maximization ◽

Robust Utility Maximization

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Characterization of the Minimal Penalty of a Convex Risk Measure with Applications to Robust Utility Maximization for Lévy Models

XII Symposium of Probability and Stochastic Processes - Progress in Probability ◽

10.1007/978-3-319-77643-9_4 ◽

2018 ◽

pp. 135-168

Author(s):

Daniel Hernández-Hernández ◽

Leonel Pérez-Hernández

Keyword(s):

Utility Maximization ◽

Risk Measure ◽

Convex Risk Measure ◽

Robust Utility Maximization

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