Duality theory for robust utility maximisation
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Publication:2049550
DOI10.1007/s00780-021-00455-6zbMath1475.91094arXiv2007.08376OpenAlexW3167343177MaRDI QIDQ2049550
Michael Kupper, Ariel Neufeld, Daniel Bartl
Publication date: 27 August 2021
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.08376
Utility theory (91B16) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
Related Items (7)
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity ⋮ Robust utility maximization with nonlinear continuous semimartingales ⋮ Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space ⋮ Markov decision processes under model uncertainty ⋮ Minimax identity with robust utility functional for a nonconcave utility ⋮ Robust retirement and life insurance with inflation risk and model ambiguity ⋮ Model Uncertainty: A Reverse Approach
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