Robust Utility Maximization in Terms of Supermartingale Measures

被引：0
|
作者：
A. A. Farvazova
机构：
[1] Chair of Probability Theory,
[2] Faculty of Mechanics and Mathematics,undefined
[3] Lomonosov Moscow State University,undefined
来源：
Moscow University Mathematics Bulletin | 2022年 / 77卷
关键词：
utility maximization; robust utility; supermartingale measure;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
引用
收藏
页码：20 / 26
页数：6
相关论文
共 50 条
  • [1] Robust Utility Maximization in Terms of Supermartingale Measures
    Farvazova, A. A.
    MOSCOW UNIVERSITY MATHEMATICS BULLETIN, 2022, 77 (01) : 20 - 26
  • [2] ASYMPTOTICS OF ROBUST UTILITY MAXIMIZATION
    Knispel, Thomas
    ANNALS OF APPLIED PROBABILITY, 2012, 22 (01): : 172 - 212
  • [3] DURATION MEASURES, IMMUNIZATION, AND UTILITY MAXIMIZATION
    PRISMAN, EZ
    TIAN, YS
    JOURNAL OF BANKING & FINANCE, 1993, 17 (04) : 689 - 707
  • [4] Robust maximization of consumption with logarithmic utility
    Hernandez-Hernandez, Daniel
    Schied, Alexander
    2007 AMERICAN CONTROL CONFERENCE, VOLS 1-13, 2007, : 6088 - 6091
  • [5] Dynamic Robust Duality in Utility Maximization
    Bernt Øksendal
    Agnès Sulem
    Applied Mathematics & Optimization, 2017, 75 : 117 - 147
  • [6] On admissible strategies in robust utility maximization
    Owari, Keita
    MATHEMATICS AND FINANCIAL ECONOMICS, 2012, 6 (02) : 77 - 92
  • [7] On admissible strategies in robust utility maximization
    Keita Owari
    Mathematics and Financial Economics, 2012, 6 : 77 - 92
  • [8] Dual Problem of Robust Utility Maximization
    A. A. Farvazova
    Moscow University Mathematics Bulletin, 2022, 77 : 176 - 182
  • [9] Dynamic Robust Duality in Utility Maximization
    Oksendal, Bernt
    Sulem, Agnes
    APPLIED MATHEMATICS AND OPTIMIZATION, 2017, 75 (01): : 117 - 147
  • [10] Dual Problem of Robust Utility Maximization
    Farvazova, A. A.
    MOSCOW UNIVERSITY MATHEMATICS BULLETIN, 2022, 77 (04) : 176 - 182
12345