Talay, Denis; Zheng, Ziyu - In: Finance and Stochastics 6 (2002) 4, pp. 517-537
We are interested in model risk control problems. We study a strategy for the trader which, in a sense, guarantees good performances whatever is the unknown model for the assets of his/her portfolio. The trader chooses trading strategies to decrease the risk and therefore acts as a minimizer;...