Robust utility maximization for complete and incomplete market models
Year of publication: |
2005
|
---|---|
Authors: | Gundel, Anne |
Published in: |
Finance and Stochastics. - Springer. - Vol. 9.2005, 2, p. 151-176
|
Publisher: |
Springer |
Subject: | f-divergences | utility maximization | robust utility functionals | model uncertainty | incomplete markets | duality |
-
ROBUST EXPONENTIAL HEDGING AND INDIFFERENCE VALUATION
OWARI, KEITA, (2010)
-
Utility maximization in incomplete markets with random endowment
(**), Hui Wang, (2001)
-
Utility theory front to back-inferring utility from agents' choices
Cox, Alexander M. G., (2014)
- More ...
-
Utility maximization under a shortfall risk constraint
Gundel, Anne, (2008)
-
Robust utility maximization for complete and incomplete market models
Gundel, Anne, (2005)
-
Robust utility maximization, f-projections, and risk constraints
Gundel, Anne, (2006)
- More ...