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Exponential utility maximization under model uncertainty for unbounded endowments

Citations

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Cited by:

  1. Miklós Rásonyi & Andrea Meireles‐Rodrigues, 2021. "On utility maximization under model uncertainty in discrete‐time markets," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 149-175, January.
  2. Felix-Benedikt Liebrich & Marco Maggis & Gregor Svindland, 2020. "Model Uncertainty: A Reverse Approach," Papers 2004.06636, arXiv.org, revised Mar 2022.
  3. Laurence Carassus, 2025. "Quasi-sure essential supremum and applications to finance," Finance and Stochastics, Springer, vol. 29(1), pages 219-260, January.
  4. Huy N. Chau & Miklos Rasonyi, 2018. "Robust utility maximization in markets with transaction costs," Papers 1803.04213, arXiv.org, revised Dec 2018.
  5. Ariel Neufeld & Julian Sester & Mario Šikić, 2023. "Markov decision processes under model uncertainty," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 618-665, July.
  6. Blessing, Jonas & Kupper, Michael & Sgarabottolo, Alessandro, 2025. "Discrete approximation of risk-based prices under volatility uncertainty," Center for Mathematical Economics Working Papers 742, Center for Mathematical Economics, Bielefeld University.
  7. Kerem Ugurlu, 2019. "Robust Utility Maximization with Drift and Volatility Uncertainty," Papers 1909.05335, arXiv.org.
  8. Daniel Bartl & Michael Kupper & Ariel Neufeld, 2021. "Duality theory for robust utility maximisation," Finance and Stochastics, Springer, vol. 25(3), pages 469-503, July.
  9. 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.
  10. Derek Singh & Shuzhong Zhang, 2020. "Robust Arbitrage Conditions for Financial Markets," Papers 2004.09432, arXiv.org.
  11. Yan Dolinsky, 2023. "Exponential Utility Maximization with Delay in a Continuous Time Gaussian Framework," Papers 2311.17270, arXiv.org, revised Oct 2025.
  12. Jan Obłój & Johannes Wiesel, 2021. "A unified framework for robust modelling of financial markets in discrete time," Finance and Stochastics, Springer, vol. 25(3), pages 427-468, July.
  13. Laurence Carassus & Jan Obloj & Johannes Wiesel, 2018. "The robust superreplication problem: a dynamic approach," Papers 1812.11201, arXiv.org, revised Feb 2019.
  14. 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.
  15. Daniel Bartl, 2016. "Conditional nonlinear expectations," Papers 1612.09103, arXiv.org, revised Mar 2019.
  16. Laurence Carassus & Massinissa Ferhoune, 2024. "Nonconcave Robust Utility Maximization under Projective Determinacy," Papers 2403.11824, arXiv.org, revised Oct 2025.
  17. Bartl, Daniel, 2020. "Conditional nonlinear expectations," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 785-805.
  18. Ariel Neufeld & Julian Sester, 2024. "Non-concave stochastic optimal control in finite discrete time under model uncertainty," Papers 2404.05230, arXiv.org, revised May 2025.
  19. Derek Singh & Shuzhong Zhang, 2021. "Robust Arbitrage Conditions for Financial Markets," SN Operations Research Forum, Springer, vol. 2(3), pages 1-52, September.
  20. Daniel Bartl & Stephan Eckstein & Michael Kupper, 2020. "Limits of random walks with distributionally robust transition probabilities," Papers 2007.08815, arXiv.org, revised Apr 2021.
  21. Romain Blanchard & Laurence Carassus, 2019. "No-arbitrage with multiple-priors in discrete time," Papers 1904.08780, arXiv.org, revised Oct 2019.
  22. 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.
  23. Laurence Carassus & Massinissa Ferhoune, 2023. "Discrete time optimal investment under model uncertainty," Papers 2307.11919, arXiv.org, revised Feb 2024.
  24. Romain Blanchard & Laurence Carassus, 2022. "Super-replication prices with multiple-priors in discrete time," Papers 2202.06534, arXiv.org.
  25. 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.
  26. Keita Owari, 2024. "Semistatic robust utility indifference valuation and robust integral functionals," Papers 2402.18872, arXiv.org.
  27. Yan Dolinsky & Or Zuk, 2023. "Explicit Computations for Delayed Semistatic Hedging," Papers 2308.10550, arXiv.org, revised Sep 2024.
  28. 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.
  29. 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.
  30. Daniel Bartl & Michael Kupper & Ariel Neufeld, 2020. "Duality Theory for Robust Utility Maximisation," Papers 2007.08376, arXiv.org, revised Jun 2021.
  31. 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.
  32. Yannick Limmer & Blanka Horvath, 2023. "Robust Hedging GANs," Papers 2307.02310, arXiv.org.
  33. Jonas Blessing & Michael Kupper & Alessandro Sgarabottolo, 2024. "Discrete approximation of risk-based prices under volatility uncertainty," Papers 2411.00713, arXiv.org.
  34. Matteo Burzoni & Frank Riedel & H. Mete Soner, 2021. "Viability and Arbitrage Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 89(3), pages 1207-1234, May.
  35. Romain Blanchard & Laurence Carassus, 2021. "Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 366-398, January.
  36. Carassus, Laurence & Ferhoune, Massinissa, 2025. "Discrete time optimal investment under model uncertainty," Stochastic Processes and their Applications, Elsevier, vol. 189(C).
  37. Keita Owari, 2023. "Semistatic robust utility indifference valuation and robust integral functionals," CARF F-Series CARF-F-577, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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