Itô calculus, which makes no probabilistic assumptions whatsoever. This shows, on one hand, that CPPI and DPPI are …We consider Constant Proportion Portfolio Insurance (CPPI) and its dynamic extension, which may be called Dynamic … Proportion Portfolio Insurance (DPPI). It is shown that these investment strategies work within the setting of Föllmer's pathwise …

uncertain about the underlying probabilistic model and averse against both risk and model uncertainty. In this paper, we study … the duality theory for the problem of maximizing the robust utility of the terminal wealth in a general incomplete market …

investor's eff ective risk aversion. Using the model-uncertainty-induced utility function, we extend the \No Good Deals …

rules and targeting rules under different timing assumptions. In all cases but one, an increased preference for robustness … assumption, however, increasing the preference for robustness has no effect on the optimal targeting rule (nor on the economy). …

rules and targeting rules under different timing assumptions. In all cases but one, an increased preference for robustness … assumption, however, increasing the preference for robustness has no effect on the optimal targeting rule (nor on the economy). …