Exponential utility maximization under model uncertainty for unbounded endowments

DOI10.1214/18-AAP1428zbMath1419.91285arXiv1610.00999WikidataQ115517779 ScholiaQ115517779MaRDI QIDQ670752

Daniel Bartl

Publication date: 20 March 2019

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.00999

zbMATH Keywords

dynamic programmingdualityutility maximizationrobust finance

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Financial applications of other theories (91G80)

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Robust utility maximization under model uncertainty via a penalization approach, Robust Utility Maximization in Discrete-Time Markets with Friction, Multiple-priors optimal investment in discrete time for unbounded utility function, Short Communication: Super-Replication Prices with Multiple Priors in Discrete Time, Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework, On utility maximization under model uncertainty in discrete‐time markets, Markov decision processes under model uncertainty, Super-replication price: it can be ok, No-arbitrage with multiple-priors in discrete time, Robust arbitrage conditions for financial markets, Robust utility maximisation in markets with transaction costs, Duality for pathwise superhedging in continuous time, Nonconcave robust optimization with discrete strategies under Knightian uncertainty, Extended Laplace principle for empirical measures of a Markov chain, Conditional nonlinear expectations, The Robust Superreplication Problem: A Dynamic Approach, A unified framework for robust modelling of financial markets in discrete time, Duality theory for robust utility maximisation, Utility Maximization with Proportional Transaction Costs Under Model Uncertainty, Limits of random walks with distributionally robust transition probabilities, Robust utility maximization of terminal wealth with drift and volatility uncertainty, Model Uncertainty: A Reverse Approach

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