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  • Search: subject:"Robust utility"
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Year of publication
Subject
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Robust statistics 8 Robustes Verfahren 8 Theorie 7 Theory 7 Risiko 6 Risk 6 Robust utility maximization 6 Portfolio selection 5 Portfolio-Management 5 Mathematical programming 4 Mathematische Optimierung 4 Nutzen 4 Stochastic process 4 Stochastischer Prozess 4 Utility 4 Volatility 4 Volatilität 4 Duality theory 3 Homothetic robust utility 3 Knightian uncertainty 3 Ambiguity aversion 2 CAPM 2 Comonotone Pareto optimal allocations 2 Decision under uncertainty 2 Entscheidung unter Unsicherheit 2 Erwartungsnutzen 2 Expected utility 2 Inflation 2 Law invariance 2 Martingal 2 Martingale 2 Nonlinear continuous semimartingales 2 Option pricing theory 2 Optionspreistheorie 2 Probabilistic sophistication 2 Robust market price of risk 2 Robust utility 2 Semimartingale characteristics 2 Stochastic inflation 2 Stochastic volatility 2
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Online availability
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Undetermined 9 Free 7
Type of publication
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Article 13 Book / Working Paper 5
Type of publication (narrower categories)
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Article in journal 9 Aufsatz in Zeitschrift 9 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Working Paper 3 Article 1
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Language
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English 15 Undetermined 3
Author
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Kikuchi, Kentaro 3 Kusuda, Koji 3 Criens, David 2 Neufeld, Ariel 2 Niemann, Lars 2 Owari, Keita 2 Ravanelli, Claudia 2 Svindland, Gregor 2 Yang, Zhou 2 Zhou, Chao 2 Azevedo, N. 1 Bartl, Daniel 1 Batbold, Bolorsuvd 1 Gundel, Anne 1 Hernández-Hernández, Daniel 1 Kupper, Michael 1 Li, Danping 1 Liang, Gechun 1 Liu, Guanting 1 Matoussi, Anis 1 Pinheiro, D. 1 Possamaï, Dylan 1 Schied, Alexander 1 Tevzadze, Revaz 1 Toronjadze, Teimuraz 1 Uzunashvili, Tamaz 1 Xanthopoulos, S. Z. 1 Yannacopoulos, Athanasios N. 1 Zeng, Yan 1 Ṥikić, Mario 1
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Institution
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Institute of Economic Research, Hitotsubashi University 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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Finance and Stochastics 3 Mathematics and financial economics 3 Discussion paper series : discussion paper 2 Finance and stochastics 2 CARF working paper 1 Global COE Hi-Stat Discussion Paper Series 1 International journal of financial engineering 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Mathematical methods of operations research 1 Mathematics and Financial Economics 1 Mathematics of operations research 1 SFB 649 Discussion Papers 1
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Source
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ECONIS (ZBW) 12 RePEc 5 EconStor 1
Showing 1 - 10 of 18
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Semistatic robust utility indifference valuation and robust integral functionals
Owari, Keita - 2024 - This Version: 29.02.2024
Persistent link: https://www.econbiz.de/10015164498
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Regularized robust strategic asset allocation under stochastic variance-covariance of asset returns
Kikuchi, Kentaro; Kusuda, Koji - 2024
Persistent link: https://www.econbiz.de/10014549549
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Robust control and CAPMs under a quadratic model with inflation-deflation risk
Batbold, Bolorsuvd; Kikuchi, Kentaro; Kusuda, Koji - 2024
Persistent link: https://www.econbiz.de/10014549675
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Robust utility maximization with nonlinear continuous semimartingales
Criens, David; Niemann, Lars - In: Mathematics and Financial Economics 17 (2023) 3, pp. 499-536
In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model … characteristics are prescribed by a set-valued function that depends on time and path. We show that the robust utility maximization …
Persistent link: https://www.econbiz.de/10015197752
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Robust utility maximization with nonlinear continuous semimartingales
Criens, David; Niemann, Lars - In: Mathematics and financial economics 17 (2023) 3, pp. 499-536
Persistent link: https://www.econbiz.de/10014381096
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Optimal investment strategy for α-robust utility maximization problem
Yang, Zhou; Li, Danping; Zeng, Yan; Liu, Guanting - In: Mathematics of operations research 50 (2025) 1, pp. 606-632
Persistent link: https://www.econbiz.de/10015211757
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Age-dependent robust strategic asset allocation with inflation-deflation hedging demand
Kikuchi, Kentaro; Kusuda, Koji - In: Mathematics and financial economics 18 (2024) 4, pp. 641-670
Persistent link: https://www.econbiz.de/10015189217
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Duality theory for robust utility maximisation
Bartl, Daniel; Kupper, Michael; Neufeld, Ariel - In: Finance and stochastics 25 (2021) 3, pp. 469-503
Persistent link: https://www.econbiz.de/10012585983
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Nonconcave robust optimization with discrete strategies under Knightian uncertainty
Neufeld, Ariel; Ṥikić, Mario - In: Mathematical methods of operations research 90 (2019) 2, pp. 229-253
Persistent link: https://www.econbiz.de/10012132710
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Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
Yang, Zhou; Liang, Gechun; Zhou, Chao - In: Mathematics and financial economics 13 (2019) 3, pp. 393-427
Persistent link: https://www.econbiz.de/10012055851
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