Robust utility maximization for complete and incomplete markets

DOI10.1007/s00780-004-0148-1zbMath1106.91027OpenAlexW2029629802MaRDI QIDQ2488473

Anne Gundel

Publication date: 24 May 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-004-0148-1

zbMATH Keywords

dualitymodel uncertainty\(f\)-divergencesrobust utility functionals

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (25)

ROBUST MEAN-VARIANCE HEDGING AND PRICING OF CONTINGENT CLAIMS IN A ONE PERIOD MODEL ⋮ Robust expected utility maximization with medial limits ⋮ Robust valuation, arbitrage ambiguity and profit \& loss analysis ⋮ Robust utility maximization for a diffusion market model with misspecified coefficients ⋮ A robust investment-consumption optimization problem in a switching regime interest rate setting ⋮ Aspects concerning entropy and utility ⋮ Risk minimizing portfolios and HJBI equations for stochastic differential games ⋮ Robust maximization of asymptotic growth ⋮ Robust optimization of consumption with random endowment ⋮ Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption ⋮ Robust portfolio optimization with a generalized expected utility model under ambiguity ⋮ Exponential utility maximization under model uncertainty for unbounded endowments ⋮ Utility maximization under a shortfall risk constraint ⋮ Quantile hedging in a semi-static market with model uncertainty ⋮ Relative and Discrete Utility Maximising Entropy ⋮ Robust optimal control for a consumption-investment problem ⋮ Robust Utility Maximization without Model Compactness ⋮ ROBUST EXPONENTIAL HEDGING AND INDIFFERENCE VALUATION ⋮ MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS ⋮ ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES ⋮ LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS ⋮ ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL ⋮ Risk Measures and Robust Optimization Problems ⋮ Continuous-time portfolio selection under ambiguity ⋮ Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach

This page was built for publication: Robust utility maximization for complete and incomplete markets