We provide a representation for the nonmyopic optimal portfolio of an agent consuming only at the terminal horizon when the single state variable follows a general di usion process and the market consists of one risky asset and a risk-free asset. The key term of our representation is a new...

We develop a robust optimal dynamic hedging strategy that takes both downside risks and market incompleteness into account for an agent who fears model misspecification. The robust agent is assumed to minimize the shortfall between the assets and liabilities under an endogenous worst case...

We develop a robust optimal dynamic hedging strategy that takes both downside risks and market incompleteness into account for an agent who fears model misspecification. The robust agent is assumed to minimize the shortfall between the assets and liabilities under an endogenous worst case...