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A Stochastic Control Approach to a Robust Utility Maximization Problem · Study

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ChapterA Stochastic Control Approach to a Robust Utility Maximization Problem

Giuliana Bordigoni2007

Chapter2007

A Stochastic Control Approach to a Robust Utility Maximization Problem

Giuliana Bordigoni · Anis Matoussi · Walter Schachermayer B

73 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

1992Stochastic Differential Utility 2004Robust Portfolio Rules and Asset Pricing 2000Backward stochastic differential equations and partial differential equations with quadratic growth 2003A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets 1981Les Aspects Probabilistes Du Controle Stochastique 2006Robust control and model misspecification 2006BSDE with quadratic growth and unbounded terminal value

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2009Robust Preferences and Robust Portfolio Choice 2012Forward–Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty 2006A control approach to robust utility maximization with logarithmic utility and time-consistent penalties 2006Robust utility maximization in a stochastic factor model 2013Infinite horizon optimal control of forward–backward stochastic differential equations with delay

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Year2007

Typechapter

Published2007-01-01

VenueSpringer eBooks

Languageen

Citations73

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-70847-6_6

openalex_workW206991483

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2014

Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption

2013Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach

2012Robust utility maximization for a diffusion market model with misspecified coefficients