robust utility maximization
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Author(s):  
Ivan Guo ◽  
Nicolas Langrené ◽  
Grégoire Loeper ◽  
Wei Ning




2020 ◽  
Author(s):  
Ivan Guo ◽  
Nicolas Langrené ◽  
Gregoire Loeper ◽  
Wei Ning


Author(s):  
O. O. Kharytonova

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.



2018 ◽  
Vol 56 (3) ◽  
pp. 1912-1937 ◽  
Author(s):  
Ariel Neufeld ◽  
Mario Šikić


Stochastics ◽  
2017 ◽  
Vol 90 (4) ◽  
pp. 524-538 ◽  
Author(s):  
Bin Li ◽  
Lihe Wang ◽  
Dewen Xiong


2016 ◽  
Vol 28 (1) ◽  
pp. 82-105 ◽  
Author(s):  
ARIEL NEUFELD ◽  
MARCEL NUTZ


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