The article analyzes optimal portfolio choice of utility maximizing agents in a general continuous-time financial market model under a joint budget and downside risk constraint. The risk constraint is given in terms of a class of convex risk measures. We do not impose any specific assumptions on...

We investigate the problem of maximizing the robust utility functional <InlineEquation ID="Equ1"> <EquationSource Format="TEX">$\inf_{Q \in \mathcal{Q}} E_Qu(X)$</EquationSource> </InlineEquation>. We give the dual characterization for its solution for both a complete and an incomplete market model. To this end, we introduce the new notion of reverse f-projections and use techniques...</equationsource></inlineequation>

Erklärungsansätze für Koalitionsbildungen im Rahmen der Corporate Governance bieten die traditionellen agencytheoretischen Modelle und Quasi-Renten-Ansätze einerseits und die Organisations- und Stewardship-Theorie andererseits. Während sich die beiden erstgenannten Ansätze ausschließlich...

Demographic projections of future mortality rates involve a high level of uncertainty and require stochastic mortality models. The current paper investigates forward mortality models driven by a (possibly infinite-dimensional) Wiener process and a compensated Poisson random measure. A major...