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On utility maximization under model uncertainty in discrete‐time markets
16 references·0 citing·31 second hop
On utility maximization under model uncertainty in discrete‐time markets (2020)On utility maximization under model uncer…Theory of games and economic behavior (2019)Theory of games and economic …Arbitrage and duality in nondominated discrete-time models (2015)Arbitrage and duality in nond…Martingale optimal transport and robust hedging in continuous time (2013)Martingale optimal transport …Maxmin expected utility with non-unique prior (2010)Maxmin expected utility with …THE RANGE OF TRADED OPTION PRICES (2006)THE RANGE OF TRADED OPTION PR…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time (1992)A Hilbert space proof of the …Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Equivalent martingale measures and no-arbitrage in stochastic securities market models (1990)Equivalent martingale measure…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…The Theory of Games and Economic Behavior (1945)The Theory of Games and Econo…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)Risk, Ambiguity, and the Savage Axioms (1961)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)A Smooth Model of Decision Making under Ambiguity (2005)Trusting the Stock Market (2005)Backward Stochastic Differential Equations in Finance (1997)Convex measures of risk and trading constraints (2002)Dynamic Asset Pricing Theory. (1993)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)Portfolio Selection with Transaction Costs (1990)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Non-cooperative games (1989)Frontiers in Group Dynamics (1947)The Evolution of Cooperation (1985)Dynamic Capabilities and Organizational Agility: Risk, Uncertainty and Entrepreneurial Management in the Innovation Economy (2016)
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References

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  • 2006THE RANGE OF TRADED OPTION PRICES

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205 cited
  • 1992A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time190 cited
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