The particular entropy method proposed by Hoch et al. [7] for the computation of NMR complex spectra allows an elegant application of the concepts of duality theory. Correspondingly, duality theory casts new light on their choice of entropy. The purpose of this paper is to present the relevant...

The paper provides an outline of a method useful for forecasting problems. The approach is based on a combination of top-down and bottom-up techniques. It is applied to project employment in all 327 (western) German districts for a time span of two years. The most important step in the...

A unique experimental tool to deepen into the Boltzmann–Loschmidt controversy is provided by the NMR polarization echoes (PE). These appear when a local spin excitation, evolving with a many-body “diffusive” spin dynamics, is reversed. The attenuation of the PEs represents a progresive...

Summary Robust utility functionals arise as numerical representations of investor preferences, when the investor is 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...

SUMMARY We give an explicit PDE characterization for the solution of a robust utility maximization problem in an incomplete market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor process. The robust utility functional is defined in...

In this paper, we formulate a single-period portfolio choice problem with parameter uncertainty in the framework of relative regret. Relative regret evaluates a portfolio by comparing its return to a family of benchmarks, where the benchmarks are the wealths of fictitious investors who invest...

<Para ID="Par1">We consider the terminal wealth utility maximization problem from the point of view of a portfolio manager who is paid by an incentive scheme, which is given as a convex function g of the terminal wealth. The manager’s own utility function U is assumed to be smooth and strictly concave;...</para>

Motivated by an optimal investment problem under time horizon uncertainty and when default may occur, we study a general structure for an incomplete semimartingale model extending the classical terminal wealth utility maximization problem. This modelling leads to the formulation of a wealth-path...

We give an explicit PDE characterization for the solution of the problem of maximizing the utility of both terminal wealth and intertemporal consumption under model uncertainty. The underlying market model consists of a risky asset, whose volatility and long-term trend are driven by an external...