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Multiple-priors optimal investment in discrete time for unbounded utility function
16 references·0 citing·43 second hop
Multiple-priors optimal investment in discrete time for unbounded utility function (2018)Multiple-priors optimal investment in dis…Exponential utility maximization under model uncertainty for unbounded endowments (2018)Exponential utility maximizat…Arbitrage and duality in nondominated discrete-time models (2015)Arbitrage and duality in nond…UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME (2014)UTILITY MAXIMIZATION UNDER MO…Optimal Investment under Model Uncertainty in Nondominated Models (2013)Optimal Investment under Mode…Stochastic programs without duality gaps (2012)Stochastic programs without d…Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Function Spaces and Capacity …Robust Preferences and Robust Portfolio Choice (2009)Robust Preferences and Robust…A theoretical framework for the pricing of contingent claims in the presence of model uncertainty (2006)A theoretical framework for t…On utility maximization in discrete-time financial market models (2005)On utility maximization in di…Stochastic Finance (2002)Stochastic FinanceOptimal investment in incomplete markets when wealth may become negative (2001)Optimal investment in incompl…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Local martingales and the fundamental asset pricing theorems in the discrete-time case (1998)Local martingales and the fun…Uncertain volatility and the risk-free synthesis of derivatives (1995)Uncertain volatility and the …Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …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)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Dynamic Asset Pricing Theory. (1993)Option Pricing: Valuation Models and Applications (2004)Consistent price systems and face-lifting pricing under transaction costs (2008)Option Valuation with Conditional Heteroskedasticity and Nonnormality (2009)Backward Stochastic Differential Equations in Finance (1997)Coherent Measures of Risk (1999)Convex measures of risk and trading constraints (2002)Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion (2009)Wellposedness of second order backward SDEs (2011)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)On the Existence of Minimax Martingale Measures (2002)Necessary and sufficient conditions in the problem of optimal investment in incomplete markets (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Limit Theorems for Stochastic Processes (2003)A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (2014)The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options on Assets with Stochastic Volatilities (1987)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)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)Stochastic Differential Equations and Diffusion Processes (1983)Robust hedging of the lookback option (1998)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Prices of State-Contingent Claims Implicit in Option Prices (1978)A general version of the fundamental theorem of asset pricing (1994)ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES (2015)Adapted Wasserstein distances and stability in mathematical finance (2020)Dynamic exponential utility indifference valuation (2005)The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)Arbitrage-free SVI volatility surfaces (2013)
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References

  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1995Pricing and hedging derivative securities in markets with uncertain volatilities681 cited
  • 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths570 cited
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  • 2006A theoretical framework for the pricing of contingent claims in the presence of model uncertainty352 cited
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  • 2015Arbitrage and duality in nondominated discrete-time models240 cited
  • 1998Local martingales and the fundamental asset pricing theorems in the discrete-time case173 cited
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  • 2005On utility maximization in discrete-time financial market models71 cited
  • 2013Optimal Investment under Model Uncertainty in Nondominated Models70 cited
  • 2014UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME65 cited
  • 2018Exponential utility maximization under model uncertainty for unbounded endowments

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48 cited
  • 2012Stochastic programs without duality gaps38 cited
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