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Utility maximization under model uncertainty in discrete time

Nutz, Marcel - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 252-268

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Optimal reinsurance to minimize the discounted probability of ruin under ambiguity

Li, Danping; Young, Virginia R. - In: Insurance / Mathematics & economics 87 (2019), pp. 143-152

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Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps

Li, Danping; Zeng, Yan; Yang, Hailiang - In: Scandinavian actuarial journal (2018) 2, pp. 145-171

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Tractable robust expected utility and risk models for portfolio optimization

Natarajan, Karthik; Sim, Melvyn; Uichanco, Joline - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 695-731

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Developments in portfolio management and risk programming techniques for agriculture

Turvey, Calum Greig; Escalante, Cesar L.; Nganje, William - In: Agricultural finance review 65 (2005) 2, pp. 219-245

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Robust portfolio optimization with a generalized expected utility model under ambiguity

Ma, Xiaoxian; Zhao, Qingzhen; Qu, Jilin - In: Annals of finance 4 (2008) 4, pp. 431-444

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Portfolio Optimization with Optimal Expected Utility Risk Measures

Fink, Holger - 2020

The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained … constraint to a portfolio selection model using value at risk as constraint. The former is a coherent risk measure for utility … functions with constant relative risk aversion and allows individual specifications to the investor's risk attitude and time …

Persistent link: https://www.econbiz.de/10012848752

Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity

Carassus, Laurence; Wiesel, Johannes - In: Finance and stochastics 29 (2025) 2, pp. 519-551

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Expected Utility Optimization with Stochastically Ordered Returns

Gauchon, Romain; Barigou, Karim - 2023

Expected utility is an influential theory to study rational choice among risky assets. For each investment, an economic …

Persistent link: https://www.econbiz.de/10014258023

Utility maximization in a large market

Mostovyi, Oleksii - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 106-118

Persistent link: https://www.econbiz.de/10011969163