Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets

DOI10.1111/mafi.12337zbMath1522.91231arXiv2105.00935OpenAlexW3195809141MaRDI QIDQ6054387

Jan Obłój, Johannes Wiesel

Publication date: 28 September 2023

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

Full work available at URL: https://arxiv.org/abs/2105.00935

zbMATH Keywords

sensitivity analysismodel uncertaintyWasserstein distanceoptimal investmentdistributionally robust optimizationrobust financeDavis marginal utility price

Mathematics Subject Classification ID

Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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Nonparametric Adaptive Robust Control under Model Uncertainty ⋮ The insider trading problem in a jump-binomial model ⋮ Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance ⋮ Markov decision processes under model uncertainty

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