Bernard, Carole; Junike, Gero; Lux, Thibaut; Vanduffel, … - In: Finance and Stochastics 28 (2024) 4, pp. 965-997
in reaching a given target distribution (“cost-efficient payoff”). In the presence of ambiguity, the distribution of a …-case distribution stochastically dominates a given target distribution (“robust cost-efficient payoff”) and determine solutions under … solutions to maxmin robust expected utility are necessarily robust cost-efficient. We illustrate our study with examples …