Robust utility maximization with limited downside risk in incomplete markets-Reference-Cited by-同舟云学术

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Robust utility maximization with limited downside risk in incomplete markets

Published:2007-11 Issue:11 Volume:117 Page:1663-1688
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Gundel Anne,Weber Stefan

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference17 articles.

1. Coherent measures of risk;Artzner;Mathematical Finance,1999

2. A general version of the fundamental theorem of asset pricing;Delbaen;Mathematische Annalen,1994

3. Jörn Dunkel, Stefan Weber, Efficient Monte Carlo methods for convex risk measures, 2005, Working Paper

4. Stochastic Finance — An Introduction in Discrete Time;Föllmer,2004

5. Robust projections in the class of martingale measures;Föllmer;Illinois Journal of Mathematics,2006

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