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ArticleRobust expected utility maximization with medial limits

Daniel Bartl2018

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Articlebronze2018

Robust expected utility maximization with medial limits

Daniel Bartl · Patrick Cheridito · Michael Kupper

36 citations·0/0 files stored·Journal of Mathematical Analysis and Applications

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Stochastic processes and financial applications Risk and Portfolio Optimization Fuzzy Systems and Optimization

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References

2001Robust Control and Model Uncertainty 2002Stochastic Finance: An Introduction in Discrete Time 1953Minimax Theorems 2004Stochastic finance. an introduction in discrete time 2006Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes 2015Arbitrage and duality in nondominated discrete-time models 1998Local martingales and the fundamental asset pricing theorems in the discrete-time case 2011COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME

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2019Computational aspects of robust optimized certainty equivalents and option pricing 2020Martingale optimal transport duality 2019Duality for pathwise superhedging in continuous time

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Year2018

Typearticle

Published2018-11-06

VenueJournal of Mathematical Analysis and Applications

ISSN-L0022-247X

Languageen

Citations36

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jmaa.2018.11.012

openalex_workW2776620697

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