robust utility maximization
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scholarly journals Robust utility maximization under model uncertainty via a penalization approach

2021 ◽  
Author(s):  
Ivan Guo ◽  
Nicolas Langrené ◽  
Grégoire Loeper ◽  
Wei Ning
Keyword(s):  
Model Uncertainty ◽  
Utility Maximization ◽  
Robust Utility Maximization

scholarly journals A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging

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

scholarly journals Robust Utility Maximization Under Model Uncertainty via a Penalization Approach

2020 ◽  
Author(s):  
Ivan Guo ◽  
Nicolas Langrené ◽  
Gregoire Loeper ◽  
Wei Ning
Keyword(s):  
Model Uncertainty ◽  
Utility Maximization ◽  
Robust Utility Maximization

scholarly journals Duality theory under model uncertainty for non-concave utility functions

2019 ◽  
pp. 50-56
Author(s):  
O. O. Kharytonova
Keyword(s):  
Probabilistic Model ◽  
Model Uncertainty ◽  
Duality Theory ◽  
Utility Maximization ◽  
Utility Functions ◽  
Previous Literature ◽  
Market Models ◽  
Terminal Wealth ◽  
Complete Market ◽  
Robust Utility Maximization

The main goal for this paper is to study the robust utility maximization functional, i.e. sup_{X\in\Xi(x)} inf_{Q\in\mathsf{Q}} E_Q [U(X_T)]; of the terminal wealth in complete market models, when the investor is uncertain about the underlying probabilistic model and averse against both risk and model uncertainty. In the previous literature, this problem was studied for strictly concave utility functions and we extended existing results for non-concave utility functions by considering their concavization.

scholarly journals Robust Utility Maximization in Discrete-Time Markets with Friction

2018 ◽  
Vol 56 (3) ◽  
pp. 1912-1937 ◽  
Author(s):  
Ariel Neufeld ◽  
Mario Šikić
Keyword(s):  
Discrete Time ◽  
Utility Maximization ◽  
Robust Utility Maximization

Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences

Stochastics ◽  
2017 ◽  
Vol 90 (4) ◽  
pp. 524-538 ◽  
Author(s):  
Bin Li ◽  
Lihe Wang ◽  
Dewen Xiong
Keyword(s):  
Utility Maximization ◽  
Ambiguity Aversion ◽  
Robust Utility Maximization

scholarly journals ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES

2016 ◽  
Vol 28 (1) ◽  
pp. 82-105 ◽  
Author(s):  
ARIEL NEUFELD ◽  
MARCEL NUTZ
Keyword(s):  
Lévy Processes ◽  
Utility Maximization ◽  
Levy Processes ◽  
Robust Utility Maximization
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