Search Results - subject:"Robust utility"

Who would invest only in the risk-free asset?

Azevedo, N.; Pinheiro, D.; Xanthopoulos, S. Z.; … - In: International journal of financial engineering 5 (2018) 3, pp. 1-14

Persistent link: https://www.econbiz.de/10011923046

Robust Exponential Hedging in a Brownian Setting

Owari, Keita - Institute of Economic Research, Hitotsubashi University - 2009

This paper studies the robust exponential hedging in a Brownian factor model, giving a solvable example using a PDE argument. The dual problem is reduced to a standard stochastic control problem, of which the HJB equation admits a classical solution. Then an optimal strategy will be expressed in...

Persistent link: https://www.econbiz.de/10008566290

Robust utility maximization in nondominated models with 2BSDE : the uncertain volatility model

Matoussi, Anis; Possamaï, Dylan; Zhou, Chao - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 258-287

Persistent link: https://www.econbiz.de/10011350647

Comonotone Pareto optimal allocations for law invariant robust utilities on L <Superscript>1</Superscript>

Ravanelli, Claudia; Svindland, Gregor - In: Finance and Stochastics 18 (2014) 1, pp. 249-269

We prove the existence of comonotone Pareto optimal allocations satisfying utility constraints when decision makers have probabilistic sophisticated variational preferences and thus representing criteria in the class of law invariant robust utilities. The total endowment is only required to be...

Persistent link: https://www.econbiz.de/10010997044

Comonotone Pareto optimal allocations for law invariant robust utilities on L 1

Ravanelli, Claudia; Svindland, Gregor - In: Finance and stochastics 18 (2014) 1, pp. 249-269

Persistent link: https://www.econbiz.de/10010235452

Robust Maximization of Consumption with Logarithmic Utility

Hernández-Hernández, Daniel; Schied, Alexander - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

We analyze the stochastic control approach to the dynamic maximization of the robust utility of consumption and … investment. The robust utility functionals are defined in terms of logarithmic utility and a dynamically consistent convex risk … factor process. Our main results give conditions on the minimal penalty function of the robust utility functional under which …

Persistent link: https://www.econbiz.de/10005652724

Robust utility maximization for a diffusion market model with misspecified coefficients

Tevzadze, Revaz; Toronjadze, Teimuraz; Uzunashvili, Tamaz - In: Finance and Stochastics 17 (2013) 3, pp. 535-563

The paper studies the robust maximization of utility from terminal wealth in a diffusion financial market model. The underlying model consists of a tradable risky asset whose price is described by a diffusion process with misspecified trend and volatility coefficients, and a non-tradable asset...

Persistent link: https://www.econbiz.de/10010847038

Robust utility maximization for complete and incomplete market models

Gundel, Anne - In: Finance and Stochastics 9 (2005) 2, pp. 151-176

We investigate the problem of maximizing the robust utility functional <InlineEquation ID="Equ1"> <EquationSource …

Persistent link: https://www.econbiz.de/10005613385