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A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
Hernaández-Hernández, Daniel, (2006)
Robust utility maximization in a stochastic factor model
Hernández-Hernández, Daniel, (2005)
Robust Utility Maximization Under Model Uncertainty via a Penalization Approach
Guo, Ivan, (2020)
Utility maximization under a shortfall risk constraint
Gundel, Anne, (2008)
Robust utility maximization for complete and incomplete market models
Gundel, Anne, (2005)
Robust utility maximization with limited downside risk in incomplete markets
Gundel, Anne, (2007)