Robust expected utility maximization with medial limits

DOI10.1016/j.jmaa.2018.11.012zbMath1418.91206arXiv1712.07699OpenAlexW2776620697WikidataQ128967932 ScholiaQ128967932MaRDI QIDQ1633590

Patrick Cheridito, Michael Kupper, Daniel Bartl

Publication date: 20 December 2018

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.07699

zbMATH Keywords

convex dualityWasserstein distancemedial limitmoment constraintsChoquet capacitabilityrobust expected utility maximization

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (19)

Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness ⋮ Martingale optimal transport duality ⋮ Robust utility maximization with nonlinear continuous semimartingales ⋮ On utility maximization under model uncertainty in discrete‐time markets ⋮ On intermediate marginals in martingale optimal transportation ⋮ Markov decision processes under model uncertainty ⋮ A pointwise bipolar theorem ⋮ No-arbitrage with multiple-priors in discrete time ⋮ Model-Free Price Bounds Under Dynamic Option Trading ⋮ Robust utility maximisation in markets with transaction costs ⋮ Duality for pathwise superhedging in continuous time ⋮ Pathwise superhedging on prediction sets ⋮ Conditional nonlinear expectations ⋮ Large deviations built on max-stability ⋮ Duality theory for robust utility maximisation ⋮ Representation of increasing convex functionals with countably additive measures ⋮ Utility Maximization with Proportional Transaction Costs Under Model Uncertainty ⋮ Martingale transport with homogeneous stock movements ⋮ Model Uncertainty: A Reverse Approach

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