We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information G.. The subjective fair value of this information for the investor is...

We solve the superhedging problem for European options in a market with finite liquidity where trading has transient impact on prices, and possibly a permanent one in addition. Impact is multiplicative to ensure positive asset prices. Hedges and option prices depend on the physical and cash...

We study a notion of good-deal hedging, that corresponds to good-deal valuation and is described by a uniform supermartingale property for the tracking errors of hedging strategies. For generalized good-deal constraints, defined in terms of correspondences for the Girsanov kernels of pricing...

We derive robust good-deal hedges and valuations under combined model ambiguity about the drift and volatility of asset prices for incomplete markets. Good-deal valuations are determined such that not just opportunities for arbitrage but also for overly attractive reward-to-risk ratios are...