Robust control in a rough environment

DOI10.1080/14697688.2021.1965193zbMath1490.91183OpenAlexW3200467901MaRDI QIDQ5072907

Hoi Ying Wong, Bingyan Han

Publication date: 5 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2021.1965193

zbMATH Keywords

robust controlutility maximizationfunctional Itô calculusrough volatilityVolterra Heston modeldetection-error probability

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16) Portfolio theory (91G10)

Related Items (1)

Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge

Cites Work

• Unnamed Item
• Unnamed Item
• A functional Itô's calculus approach to convex risk measures with jump diffusion
• The robust Merton problem of an ambiguity averse investor
• Maxmin expected utility with non-unique prior
• The microstructural foundations of leverage effect and rough volatility
• Functional Itō calculus and stochastic integral representation of martingales
• Affine forward variance models
• Mean-variance portfolio selection under Volterra Heston model
• Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation
• Affine Volterra processes
• Moment explosions in the rough Heston model
• A martingale approach for fractional Brownian motions and related path dependent PDEs
• Robust control and model misspecification
• Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
• Statistical decision functions which minimize the maximum risk
• Risk, Ambiguity, and the Savage Axioms
• The stochastic Fubini theorem revisited
• Empirical Processes with Applications to Statistics
• Model-Free Portfolio Theory and Its Functional Master Formula
• Volatility is rough
• Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
• Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment
• Pricing under rough volatility
• Volatility has to be rough
• Time-Inconsistency with Rough Volatility
• Lifting the Heston model
• Multifactor Approximation of Rough Volatility Models
• Functional Itô calculus
• Optimal investment and consumption under a continuous-time cointegration model with exponential utility
• Optimal portfolio under fractional stochastic environment
• The characteristic function of rough Heston models
• Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix
• No‐arbitrage implies power‐law market impact and rough volatility

This page was built for publication: Robust control in a rough environment