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Robust utility maximization in a stochastic factor model
16 references·6 citing·36 second hop
Robust utility maximization in a stochastic factor model (2006)Robust utility maximization in a stochast…The Structure of m–Stable Sets and in Particular of the Set of Risk Neutral Measures (2006)The Structure of m–Stable Set…Optimal investments for risk- and ambiguity-averse preferences: a duality approach (2006)Optimal investments for risk-…Coherent multiperiod risk adjusted values and Bellman’s principle (2006)Coherent multiperiod risk adj…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…Recursive multiple-priors (2003)Recursive multiple-priorsWorst 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…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Coherent Measures of Risk (1999)Coherent Measures of RiskSubjective 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…Dynamically consistent investment under model uncertainty: the robust forward criteria (2018)Dynamically consistent invest…Robust utility maximization for a diffusion market model with misspecified coefficients (2012)Robust utility maximization f…Optimal investment and consumption in a Black–Scholes market with Lévy-driven stochastic coefficients (2008)Optimal investment and consum…Robust optimal control for a consumption-investment problem (2007)Robust optimal control for a …Risk Measures and Robust Optimization Problems (2006)Risk Measures and Robust Opti…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)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Implications of rational inattention (2003)Robust Dynamic Programming (2005)Information Immobility and the Home Bias Puzzle (2009)Risk, Ambiguity, and the Savage Axioms (1961)Personality Psychology and Economics (2011)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Chapter 18 A survey of behavioral finance (2003)A Smooth Model of Decision Making under Ambiguity (2005)Convex measures of risk and trading constraints (2002)Conditional and dynamic convex risk measures (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Risk measures via -expectations (2006)A theory of anticipated utility (1982)The Dual Theory of Choice under Risk (1987)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Psychology and Economics (1997)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 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
  • 2001Robust Control and Model Uncertainty1,349 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 2003Recursive multiple-priors868 cited
  • 2006Coherent multiperiod risk adjusted values and Bellman’s principle409 cited
  • 2006The Structure of m–Stable Sets and in Particular of the Set of Risk Neutral Measures195 cited
  • 2006Optimal investments for risk- and ambiguity-averse preferences: a duality approach126 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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2004
Optimal Portfolio in a Multiple-Priors Model
77 cited

Cited by

  • 2006Risk Measures and Robust Optimization Problems66 cited
  • 2008Optimal investment and consumption in a Black–Scholes market with Lévy-driven stochastic coefficients52 cited
  • 2012Robust utility maximization for a diffusion market model with misspecified coefficients44 cited
  • 2007Robust optimal control for a consumption-investment problem43 cited
  • 2018Dynamically consistent investment under model uncertainty: the robust forward criteria29 cited
  • 2019Pricing and hedging in incomplete markets with model uncertainty29 cited