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Robust decision making using a general utility set
Hu, Jian; Bansal, Manish; Mehrotra, Sanjay - In: European journal of operational research : EJOR 269 (2018) 2, pp. 699-714
Persistent link: https://www.econbiz.de/10011864436
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Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
Källblad, Sigrid - In: Finance and stochastics 21 (2017) 2, pp. 397-425
Persistent link: https://www.econbiz.de/10011944387
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Linear tests for decreasing absolute risk aversion stochastic dominance
Post, Thierry; Fang, Yi; Kopa, Miloš - In: Management science : journal of the Institute for … 61 (2015) 7, pp. 1615-1629
Persistent link: https://www.econbiz.de/10011304114
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On existence and uniqueness of the principle of equivalent utility under Cumulative Prospect Theory
Chudziak, J. - In: Insurance / Mathematics & economics 79 (2018), pp. 243-246
Persistent link: https://www.econbiz.de/10011825485
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Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty
Cohen, Asaf - In: Mathematics of operations research 44 (2019) 2, pp. 739-766
Persistent link: https://www.econbiz.de/10012028708
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Optimal stochastic control problem under model uncertainty with nonentropy penalty
Faidi, Wahid; Matoussi, Anis; Mnif, Mohamed - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-41
Persistent link: https://www.econbiz.de/10011686954
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Hedging under generalized good-deal bounds and model uncertainty
Becherer, Dirk; Kentia Tonleu, Klébert - In: Mathematical methods of operations research 86 (2017) 1, pp. 171-214
Persistent link: https://www.econbiz.de/10011714399
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Optimal stopping under uncertainty in drift and jump intensity
Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; … - In: Mathematics of operations research 43 (2018) 4, pp. 1177-1209
Persistent link: https://www.econbiz.de/10011956978
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Robust portfolio choice with stochastic interest rates
Flor, Christian Riis; Larsen, Linda Sandris - In: Annals of finance 10 (2014) 2, pp. 243-265
Persistent link: https://www.econbiz.de/10010350862
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Optimal investment, consumption and proportional reinsurance under model uncertainty
Peng, Xingchun; Chen, Fenge; Hu, Yijun - In: Insurance / Mathematics & economics 59 (2014), pp. 222-234
Persistent link: https://www.econbiz.de/10010469132