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A Stochastic Control Approach to a Robust Utility Maximization Problem
16 references·16 citing·43 second hopsampled
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References

  • 1992Stochastic Differential Utility1,165 cited
  • 2004Robust Portfolio Rules and Asset Pricing784 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 2003A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection635 cited
  • 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets584 cited
  • 1981Les Aspects Probabilistes Du Controle Stochastique448 cited
  • 2006Robust control and model misspecification389 cited
  • 2006BSDE with quadratic growth and unbounded terminal value314 cited
  • 1999Optimal Consumption and Portfolio Selection with Stochastic Differential Utility312 cited
  • 2005Dynamic exponential utility indifference valuation192 cited
  • 2003BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations186 cited
  • 2001A dynamic maximum principle for the optimization of recursive utilities under constraints155 cited
  • 2003Robust control and recursive utility139 cited
  • 2006Optimal investments for risk- and ambiguity-averse preferences: a duality approach126 cited
  • 2005Duality theory for optimal investments under model uncertainty

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79 cited
  • 2004Optimal Portfolio in a Multiple-Priors Model77 cited
  • Cited by

    • 2009Robust Preferences and Robust Portfolio Choice84 cited
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    • 2013Infinite horizon optimal control of forward–backward stochastic differential equations with delay54 cited
    • 2014Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption53 cited
    • 2013Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach45 cited
    • 2012Robust utility maximization for a diffusion market model with misspecified coefficients44 cited
    • 2018Existence and uniqueness results for BSDE with jumps: the whole nine yards42 cited
    • 2011Portfolio optimization under model uncertainty and BSDE games37 cited
    • 2018Robust expected utility maximization with medial limits36 cited
    • 2019Adaptive Robust Control under Model Uncertainty30 cited
    • 2018Dynamically consistent investment under model uncertainty: the robust forward criteria29 cited
    • 2019Pricing and hedging in incomplete markets with model uncertainty29 cited
    • 2012Quadratic Semimartingale BSDEs Under an Exponential Moments Condition26 cited
    • 2019Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case23 cited