Robust utility maximization with nonlinear continuous semimartingales
Year of publication: |
2023
|
---|---|
Authors: | Criens, David ; Niemann, Lars |
Subject: | Duality theory | Knightian uncertainty | Nonlinear continuous semimartingales | Robust market price of risk | Robust utility maximization | Semimartingale characteristics | Martingal | Martingale | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Robustes Verfahren | Robust statistics | Risiko | Risk | Erwartungsnutzen | Expected utility | Optionspreistheorie | Option pricing theory |
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