The following pages link to Worst case model risk management (Q1424697):
Displaying 28 items.
- Robust utility maximization for a diffusion market model with misspecified coefficients (Q354194) (← links)
- Optimal arbitrage under model uncertainty (Q657697) (← links)
- Robust portfolio optimization with a generalized expected utility model under ambiguity (Q665830) (← links)
- The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options (Q1697932) (← links)
- Robust utility maximization under model uncertainty via a penalization approach (Q2120592) (← links)
- Optimal portfolios in the presence of stress scenarios a worst-case approach (Q2120596) (← links)
- Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs (Q2312400) (← links)
- Consumption-investment problem with pathwise ambiguity under logarithmic utility (Q2323332) (← links)
- A control approach to robust utility maximization with logarithmic utility and time-consistent penalties (Q2372460) (← links)
- Worst-case investment and reinsurance optimization for an insurer under model uncertainty (Q2398561) (← links)
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach (Q2463705) (← links)
- Robust optimal control for a consumption-investment problem (Q2482684) (← links)
- Utility maximization under model uncertainty in discrete time (Q2799995) (← links)
- Stochastic target games and dynamic programming via regularized viscosity solutions (Q2800366) (← links)
- Robust mean-variance hedging and pricing of contingent claims in a one period model (Q2892982) (← links)
- Risk minimizing portfolios and HJBI equations for stochastic differential games (Q3518568) (← links)
- Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications (Q4409045) (← links)
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria (Q4576923) (← links)
- A note on the worst case approach for a market with a stochastic interest rate (Q4614223) (← links)
- ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES (Q4635032) (← links)
- A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models (Q4958395) (← links)
- Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market (Q5039390) (← links)
- Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model (Q5117677) (← links)
- Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization (Q5227410) (← links)
- LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS (Q5245889) (← links)
- ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL (Q5247421) (← links)
- OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES (Q5459961) (← links)
- A robust investment-consumption optimization problem in a switching regime interest rate setting (Q6173963) (← links)
