ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION(Revised in March 2012, Forthcoming in "Mathematics and Financial Economics")
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- Sara Biagini & Marco Frittelli, 2007. "The supermartingale property of the optimal wealth process for general semimartingales," Finance and Stochastics, Springer, vol. 11(2), pages 253-266, April.
- Keita Owari, 2011. "Duality in Robust Utility Maximization with Unbounded Claim via a Robust Extension of Rockafellar's Theorem," Papers 1101.2968, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-03 (All new papers)
- NEP-MIC-2012-04-03 (Microeconomics)
- NEP-UPT-2012-04-03 (Utility Models & Prospect Theory)
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