Showing 1 - 7 of 7
Persistent link: https://www.econbiz.de/10003643526
Persistent link: https://www.econbiz.de/10003633778
Persistent link: https://www.econbiz.de/10010340784
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 terms of...
Persistent link: https://www.econbiz.de/10003324220
We anlyze the stochastic control approach to the dynamic maximization of the robust utility of consumption and investment. The robust utility functionals are defined in terms of logarithmic utility and a dynamically consisten convex risk measure. The underlying market is modeled by a diffusion...
Persistent link: https://www.econbiz.de/10003633826
Persistent link: https://www.econbiz.de/10012820643
We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk measurement related optimization problem is robust, which we call "robustness against optimization". The new notion is studied for...
Persistent link: https://www.econbiz.de/10013235019