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A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
16 references·11 citing·41 second hop
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties (2006)A control approach to robust utility maxi…DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES (2007)DYNAMIC INDIFFERENCE VALUATIO…Optimal investments for risk- and ambiguity-averse preferences: a duality approach (2006)Optimal investments for risk-…Ambiguity Aversion, Robustness, and the Variational Representation of Preferences (2006)Ambiguity Aversion, Robustnes…Optimal Investments for Robust Utility Functionals in Complete Market Models (2005)Optimal Investments for Robus…Duality theory for optimal investments under model uncertainty (2005)Duality theory for optimal in…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Subjective probability and expected utility without additivity (2004)Subjective probability and ex…Optimal Portfolio in a Multiple-Priors Model (2004)Optimal Portfolio in a Multip…Optimal derivatives design under dynamic risk measures (2004)Optimal derivatives design un…Worst case model risk management (2002)Worst case model risk managem…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Robust Control and Model Uncertainty (2001)Robust Control and Model Unce…Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…Subjective Probability and Expected Utility without Additivity (1989)Subjective Probability and Ex…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Pricing and hedging in incomplete markets with model uncertainty (2019)Pricing and hedging in incomp…Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case (2019)Continuous-Time Portfolio Cho…Dynamically consistent investment under model uncertainty: the robust forward criteria (2018)Dynamically consistent invest…Alpha-robust mean-variance reinsurance-investment strategy (2016)Alpha-robust mean-variance re…Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion (2015)Minimizing the Probability of…Probabilistic aspects of finance (2013)Probabilistic aspects of fina…Robust utility maximization for a diffusion market model with misspecified coefficients (2012)Robust utility maximization f…Robust Preferences and Robust Portfolio Choice (2009)Robust Preferences and Robust…GHICA — Risk analysis with GH distributions and independent components (2009)GHICA — Risk analysis with GH…Robust optimal control for a consumption-investment problem (2007)Robust optimal control for a …Optimal consumption strategies under model uncertainty (2005)Optimal consumption strategie…Risk, Ambiguity, and the Savage Axioms (1961)Cognitive skills affect economic preferences, strategic behavior, and job attachment (2009)Theory of Decision under Uncertainty (2009)Theory and Applications of Robust Optimization (2010)The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Multiple channel queues in heavy traffic. 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this work references cited by second hop

References

  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 2004Subjective probability and expected utility without additivity2,510 cited
  • 1989Subjective Probability and Expected Utility without Additivity2,308 cited
  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,400 cited
  • 2001Robust Control and Model Uncertainty1,349 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2006Ambiguity Aversion, Robustness, and the Variational Representation of Preferences1,139 cited
  • 1994Controlled markov processes and viscosity solutions1,024 cited
  • 2007DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES168 cited
  • 2006Optimal investments for risk- and ambiguity-averse preferences: a duality approach126 cited
  • 2004Optimal derivatives design under dynamic risk measures109 cited
  • 2005Optimal Investments for Robust Utility Functionals in Complete Market Models89 cited
  • 2002Worst case model risk management82 cited
  • 2005Duality theory for optimal investments under model uncertainty79 cited

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

    • 2009Robust Preferences and Robust Portfolio Choice84 cited
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    • 2012Robust utility maximization for a diffusion market model with misspecified coefficients44 cited
    • 2007Robust optimal control for a consumption-investment problem43 cited
    • 2009GHICA — Risk analysis with GH distributions and independent components30 cited
    • 2018Dynamically consistent investment under model uncertainty: the robust forward criteria29 cited
    • 2019Pricing and hedging in incomplete markets with model uncertainty29 cited
    • 2013Probabilistic aspects of finance24 cited
    • 2005Optimal consumption strategies under model uncertainty24 cited
    • 2019Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case23 cited