Robust expected utility maximization with medial limits-Reference-Cited by-同舟云学术

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Robust expected utility maximization with medial limits

Published:2019-03 Issue:1-2 Volume:471 Page:752-775
ISSN:0022-247X
Container-title:Journal of Mathematical Analysis and Applications
language:en
Short-container-title:Journal of Mathematical Analysis and Applications

Author:

Bartl Daniel,Cheridito Patrick,Kupper Michael

Funder

Austrian Science Fund

Publisher

Elsevier BV

Subject

Applied Mathematics,Analysis

Reference27 articles.

1. Robust utility maximization without model compactness;Backhoff;SIAM J. Financial Math.,2016

2. Exponential utility maximization under model uncertainty for unbounded endowments;Bartl;Ann. Appl. Probab.,2018

3. Stochastic Optimal Control: The Discrete Time Case;Bertsekas,1978

4. Robust optimal investment in discrete time for unbounded utility function;Blanchard;Ann. Appl. Probab.,2018

5. A stochastic control approach to a robust utility maximization problem;Bordigoni,2007

Cited by 21 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On intermediate marginals in martingale optimal transportation;Mathematics and Financial Economics;2023-11-07

2. Robust utility maximization with nonlinear continuous semimartingales;Mathematics and Financial Economics;2023-08-17

3. Markov decision processes under model uncertainty;Mathematical Finance;2023-03-17

4. Model Uncertainty: A Reverse Approach;SIAM Journal on Financial Mathematics;2022-09

5. Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness;SIAM Journal on Control and Optimization;2022-02

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