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Robust maximization of asymptotic growth
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Robust maximization of asymptotic growth (2012)Robust maximization of asymptotic growthOptimal arbitrage under model uncertainty (2011)Optimal arbitrage under model…On optimal arbitrage (2010)On optimal arbitrageMaxmin expected utility with non-unique prior (2010)Maxmin expected utility with …KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES (2007)KERNEL-BASED SEMI-LOG-OPTIMAL…Robust projections in the class of martingale measures (2006)Robust projections in the cla…Optimal investments for risk- and ambiguity-averse preferences: a duality approach (2006)Optimal investments for risk-…Robust utility maximization for complete and incomplete market models (2005)Robust utility maximization f…Duality theory for optimal investments under model uncertainty (2005)Duality theory for optimal in…Optimal Portfolio in a Multiple-Priors Model (2004)Optimal Portfolio in a Multip…Equity portfolios generated by functions of ranked market weights (2001)Equity portfolios generated b…On the tails of the supremum and the quadratic variation of strictly local martingales (1997)On the tails of the supremum …Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment (1988)Asymptotic Optimality and Asy…A general version of the fundamental theorem of asset pricing (1994)Methods of Mathematical Finance (1998)Risk Measures and Robust Optimization Problems (2006)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Utility maximization under a shortfall risk constraint (2008)Robust utility maximization for a diffusion market model with misspecified coefficients (2012)Optimum consumption and portfolio rules in a continuous-time model (1971)Stochastic Integration and Differential Equations (2005)A control approach to robust utility maximization with logarithmic utility and time-consistent penalties (2006)A Stochastic Control Approach to a Robust Utility Maximization Problem (2007)Brownian Motion and Stochastic Calculus (2007)Robust Preferences and Robust Portfolio Choice (2009)Controlled Diffusion Processes (1980)Controlled Markov Processes and Viscosity Solutions (2005)Stochastic target games with controlled loss (2014)Superreplication under model uncertainty in discrete time (2014)The geometry of relative arbitrage (2015)Hedging of contingent claims under incomplete information (1990)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (2000)Subjective Probability and Expected Utility without Additivity (1989)Subjective probability and expected utility without additivity (2004)Optimal reinsurance with general risk measures (2008)Dynamic Risk Measures (2011)Optimal reinsurance under general law-invariant risk measures (2011)Risk, Ambiguity, and the Savage Axioms (1961)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)The Malliavin Calculus and Related Topics (1995)The numéraire portfolio in semimartingale financial models (2007)Rational asset pricing bubbles and portfolio constraints (2010)On the hedging of options on exploding exchange rates (2013)The Dual Theory of Choice under Risk (1987)Universal portfolios with side information (1996)Do Markets Favor Agents able to Make Accurate Predictions? (2000)Robust Permanent Income and Pricing (1999)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013)Frameworks and Results in Distributionally Robust Optimization (2022)
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References

  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 2010Maxmin expected utility with non-unique prior484 cited
  • 1988Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment343 cited
  • 2006Optimal investments for risk- and ambiguity-averse preferences: a duality approach126 cited
  • 2005Duality theory for optimal investments under model uncertainty79 cited
  • 2004Optimal Portfolio in a Multiple-Priors Model77 cited
  • 2010On optimal arbitrage76 cited
  • 2005Robust utility maximization for complete and incomplete market models70 cited
  • 2011Optimal arbitrage under model uncertainty55 cited
  • 2006Robust projections in the class of martingale measures53 cited
  • 1997On the tails of the supremum and the quadratic variation of strictly local martingales44 cited
  • 2001Equity portfolios generated by functions of ranked market weights41 cited
  • 2007KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES35 cited

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