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Robust utility maximization for complete and incomplete market models · Study

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ArticleRobust utility maximization for complete and incomplete market models

Anne Gundel2005

Article2005

Robust utility maximization for complete and incomplete market models

70 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets 1990Hedging of contingent claims under incomplete information 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets 2010Maxmin expected utility with non-unique prior 2001Minimax and minimal distance martingale measures and their relationship to portfolio optimization 2002On the Existence of Minimax Martingale Measures 2002On the minimal entropy martingale measure 2002Conditioned stochastic differential equations: theory, examples and application to finance

Cited by

2009Robust Preferences and Robust Portfolio Choice 2006Risk Measures and Robust Optimization Problems 2006Robust projections in the class of martingale measures 2014Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption 2018Exponential utility maximization under model uncertainty for unbounded endowments

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2006Robust projections in the class of martingale measuresarticle · 6 shared references 2002Optimal Investment in Incomplete Financial Marketschapter · 5 shared references 2007Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Modelchapter · 5 shared references 2002Utility-Based Derivative Pricing in Incomplete Marketschapter · 5 shared references 2005MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETSarticle · 5 shared references 2002Derivative pricing based on local utility maximizationarticle · 5 shared references

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Year2005

Typearticle

Published2005-03-15

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations70

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-004-0148-1

openalex_workW2029629802

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