Robust utility maximization in terms of supermartingale measures

DOI10.3103/S0027132222010028zbMath1503.60052MaRDI QIDQ2674656

A. A. Farvazova

Publication date: 14 September 2022

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

zbMATH Keywords

utility maximizationrobust utilitysupermartingale measure

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Financial markets (91G15)

Cites Work

• Optional decompositions under constraints
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• On the existence of an equivalent supermartingale density for a fork-convex family of stochastic processes
• Dual Characterization of the Value Function in the Robust Utility Maximization Problem
• On an Extension of the Notion off-Divergence
• Stochastic finance. An introduction in discrete time
• A filtered version of the bipolar theorem of Brannath and Schachermayer
• Unnamed Item

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