Exponential utility maximization under model uncertainty for unbounded endowments
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Cited by:
- Daniel Bartl & Michael Kupper & Ariel Neufeld, 2020. "Duality Theory for Robust Utility Maximization," Papers 2007.08376, arXiv.org.
- Romain Blanchard & Laurence Carassus, 2019. "No-arbitrage with multiple-priors in discrete time," Papers 1904.08780, arXiv.org, revised Oct 2019.
- Ariel Neufeld & Mario Šikić, 2019. "Nonconcave robust optimization with discrete strategies under Knightian uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 90(2), pages 229-253, October.
- Mikl'os R'asonyi & Andrea Meireles-Rodrigues, 2018. "On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets," Papers 1801.06860, arXiv.org, revised Jul 2020.
- Huy N. Chau & Miklos Rasonyi, 2018. "Robust utility maximization in markets with transaction costs," Papers 1803.04213, arXiv.org, revised Dec 2018.
- Daniel Bartl & Michael Kupper & David J. Prömel & Ludovic Tangpi, 2019. "Duality for pathwise superhedging in continuous time," Finance and Stochastics, Springer, vol. 23(3), pages 697-728, July.
- Kerem Ugurlu, 2019. "Robust Utility Maximization with Drift and Volatility Uncertainty," Papers 1909.05335, arXiv.org.
- Shuoqing Deng & Xiaolu Tan & Xiang Yu, 2020. "Utility Maximization with Proportional Transaction Costs Under Model Uncertainty," Mathematics of Operations Research, INFORMS, vol. 45(4), pages 1210-1236, November.
- Huy N. Chau & Miklós Rásonyi, 2019. "Robust utility maximisation in markets with transaction costs," Finance and Stochastics, Springer, vol. 23(3), pages 677-696, July.
- Daniel Bartl & Michael Kupper & David J. Promel & Ludovic Tangpi, 2017. "Duality for pathwise superhedging in continuous time," Papers 1705.02933, arXiv.org, revised Apr 2019.
- Daniel Bartl, 2016. "Conditional nonlinear expectations," Papers 1612.09103, arXiv.org, revised Mar 2019.
- Bartl, Daniel, 2020. "Conditional nonlinear expectations," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 785-805.
- Daniel Bartl & Stephan Eckstein & Michael Kupper, 2020. "Limits of random walks with distributionally robust transition probabilities," Papers 2007.08815, arXiv.org.
- Derek Singh & Shuzhong Zhang, 2020. "Robust Arbitrage Conditions for Financial Markets," Papers 2004.09432, arXiv.org.
- Blanchard, Romain & Carassus, Laurence, 2020. "No-arbitrage with multiple-priors in discrete time," Stochastic Processes and their Applications, Elsevier, vol. 130(11), pages 6657-6688.
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This paper has been announced in the following NEP Reports:- NEP-UPT-2016-10-09 (Utility Models & Prospect Theory)
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