Robust utility maximisation with intractable claims

DOI10.1007/s00780-023-00512-2zbMath1527.91167arXiv2304.06938OpenAlexW4387119009MaRDI QIDQ6074011

Xun Yu Zhou, Yunhong Li, Zuo Quan Xu

Publication date: 12 October 2023

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

Full work available at URL: https://arxiv.org/abs/2304.06938

zbMATH Keywords

variational inequalitiescalculus of variationsrank-dependent utilityquantile formulationrobust modelintractable claim

Mathematics Subject Classification ID

Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

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