This paper derives conditions under which preferences and technology are nonparametrically identified in hedonic equilibrium models, where products are differentiated along more than one dimension and agents are characterized by several dimensions of unobserved heterogeneity. With products...

Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset. Investor's portfolio consists of a dynamically traded stock and a static position in vanilla options which can be exercised at...

We introduce a universal framework for mean-covariance robust risk measurement andportfolio optimization.We model uncertainty in terms of the Gelbrich distance on the mean-covariance space, along with prior structural information about the population distribution.Our approach is related to the...