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Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets

  • Published:2021-08-14 Issue:4 Volume:31 Page:1454-1493
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Obłój Jan1ORCID,Wiesel Johannes2ORCID

Affiliation:

1. Mathematical Institute and St John's College University of Oxford Oxford UK

2. Department of Statistics Columbia University New York New York USA

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Cited by 8 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. Forward robust portfolio selection: The binomial case;Probability, Uncertainty and Quantitative Risk;2024

2. Financial Asset Allocation and Portfolio Optimization Strategies Based on Stochastic Optimization Methods;Applied Mathematics and Nonlinear Sciences;2024-01-01

3. Nonparametric Adaptive Robust Control under Model Uncertainty;SIAM Journal on Control and Optimization;2023-09-12

4. The insider trading problem in a jump-binomial model;Decisions in Economics and Finance;2023-09-11

5. Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance;SIAM Journal on Financial Mathematics;2023-06-12
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