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Robust Utility Maximization In Nondominated Models With 2bsde: The Uncertain Volatility Model

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  • Anis Matoussi
  • Dylan Possamaï
  • Chao Zhou

Abstract

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Suggested Citation

  • Anis Matoussi & Dylan Possamaï & Chao Zhou, 2015. "Robust Utility Maximization In Nondominated Models With 2bsde: The Uncertain Volatility Model," Mathematical Finance, Wiley Blackwell, vol. 25(2), pages 258-287, April.
  • Handle: RePEc:bla:mathfi:v:25:y:2015:i:2:p:258-287
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    File URL: http://hdl.handle.net/10.1111/mafi.2015.25.issue-2
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    Citations

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    Cited by:

    1. Stefan Ankirchner & Christophette Blanchet-Scalliet & Nabil Kazi-Tani & Chao Zhou, 2019. "Gambling for resurrection and the heat equation on a triangle," Working Papers hal-02405853, HAL.
    2. Thibaut Mastrolia & Dylan Possamaï, 0. "Moral Hazard Under Ambiguity," Journal of Optimization Theory and Applications, Springer, vol. 0, pages 1-49.
    3. Frank Bosserhoff & Mitja Stadje, 2019. "Robustness of Delta hedging in a jump-diffusion model," Papers 1910.08946, arXiv.org.
    4. Daniel Bartl & Samuel Drapeau & Ludovic Tangpi, 2017. "Computational aspects of robust optimized certainty equivalents and option pricing," Papers 1706.10186, arXiv.org, revised Mar 2019.
    5. Daniel Bartl, 2016. "Exponential utility maximization under model uncertainty for unbounded endowments," Papers 1610.00999, arXiv.org, revised Feb 2019.
    6. Thibaut Mastrolia & Dylan Possamaï, 2018. "Moral Hazard Under Ambiguity," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 452-500, November.
    7. Ariel Neufeld & Mario Sikic, 2017. "Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty," Papers 1711.03875, arXiv.org, revised Apr 2019.
    8. Dirk Becherer & Klebert Kentia, 2017. "Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility," Papers 1704.02505, arXiv.org.
    9. Huy N. Chau & Miklos Rasonyi, 2018. "Robust utility maximization in markets with transaction costs," Papers 1803.04213, arXiv.org, revised Dec 2018.
    10. Huyen Pham & Xiaoli Wei & Chao Zhou, 2019. "Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach," Working Papers hal-01867133, HAL.
    11. Kerem Ugurlu, 2019. "Robust Utility Maximization with Drift and Volatility Uncertainty," Papers 1909.05335, arXiv.org.
    12. Andrew Papanicolaou, 2018. "Backward SDEs for Control with Partial Information," Papers 1807.08222, arXiv.org.
    13. Kim Weston, 2016. "Stability of utility maximization in nonequivalent markets," Finance and Stochastics, Springer, vol. 20(2), pages 511-541, April.
    14. Wing Fung Chong & Gechun Liang, 2018. "Optimal investment and consumption with forward preferences and uncertain parameters," Papers 1807.01186, arXiv.org, revised Jun 2019.

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