Model Uncertainty: A Reverse Approach
DOI10.1137/21M1425463zbMath1498.91510arXiv2004.06636OpenAlexW3152444188MaRDI QIDQ5868802
Felix-Benedikt Liebrich, Gregor Svindland, Marco Maggis
Publication date: 23 September 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2004.06636
quasi-sure analysisrobust mathematical financeaggregation of random variables in robust modelssupported uncertainty
Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Contents, measures, outer measures, capacities (28A12) Financial applications of other theories (91G80)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Universal arbitrage aggregator in discrete-time markets under uncertainty
- Consistent price systems under model uncertainty
- Stochastic finance. An introduction in discrete time.
- Quasi-sure stochastic analysis through aggregation
- Pathwise construction of stochastic integrals
- Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces
- Martingale representation theorem for the \(G\)-expectation
- Exponential utility maximization under model uncertainty for unbounded endowments
- A note on abstract measure
- Asymptotic methods in statistical decision theory
- Note on a problem of Diepenbrock
- Neyman factorization and minimality of pairwise sufficient subfields
- Banach lattices
- On the existence of a minimal sufficient subfield
- Financial options and statistical prediction intervals
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Fatou closedness under model uncertainty
- Moral hazard under ambiguity
- Robust expected utility maximization with medial limits
- Robust pricing-hedging dualities in continuous time
- Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
- On pathwise stochastic integration
- Duality theory for robust utility maximisation
- No-arbitrage concepts in topological vector lattices
- Automatic Fatou property of law-invariant risk measures
- No-arbitrage with multiple-priors in discrete time
- Aggregation of opinions and risk measures
- Superreplication under model uncertainty in discrete time
- Pathwise superhedging on prediction sets
- Arbitrage and duality in nondominated discrete-time models
- Model-free superhedging duality
- Constructing sublinear expectations on path space
- The mathematics of arbitrage
- A more general property than domination for sets of probability measures
- Arbitrage and state price deflators in a general intertemporal framework
- Correction to: ``Fatou closedness under model uncertainty
- Superhedging and Dynamic Risk Measures under Volatility Uncertainty
- Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty
- Surplus-Invariant Risk Measures
- A pointwise bipolar theorem
- On the C‐property and ‐representations of risk measures
- Set Theory
- Pointwise Arbitrage Pricing Theory in Discrete Time
- A note on stochastic dominance, uniform integrability and lattice properties
- Sufficiency and Approximate Sufficiency
- ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES
- Kreps-Yan theorem for Banach ideal spaces
- Sufficiency in the Undominated Case
This page was built for publication: Model Uncertainty: A Reverse Approach
