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Robust Utility Maximization in Discrete-Time Markets with Friction

Citations

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Cited by:

  1. 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.
  2. 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.
  3. Tim Leung & Hyungbin Park & Heejun Yeo, 2023. "Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs," Papers 2310.02084, arXiv.org.
  4. Ariel Neufeld & Mario Sikic, 2017. "Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty," Papers 1711.03875, arXiv.org, revised Apr 2019.
  5. Qian Lin & Frank Riedel, 2021. "Optimal consumption and portfolio choice with ambiguous interest rates and volatility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(3), pages 1189-1202, April.
  6. Christoph Czichowsky & Raphael Huwyler, 2022. "Robust utility maximisation under proportional transaction costs for c\`adl\`ag price processes," Papers 2211.00532, arXiv.org, revised Aug 2024.
  7. Daniel Bartl & Ariel Neufeld & Kyunghyun Park, 2023. "Sensitivity of robust optimization problems under drift and volatility uncertainty," Papers 2311.11248, arXiv.org.
  8. Zongxia Liang & Ming Ma, 2020. "Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1035-1072, July.
  9. Bogdan Iftimie, 2023. "A robust investment-consumption optimization problem in a switching regime interest rate setting," Journal of Global Optimization, Springer, vol. 86(3), pages 713-739, July.
  10. Ariel Neufeld & Julian Sester & Mario Šikić, 2023. "Markov decision processes under model uncertainty," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 618-665, July.
  11. Daniel Bartl & Michael Kupper & Ariel Neufeld, 2021. "Duality theory for robust utility maximisation," Finance and Stochastics, Springer, vol. 25(3), pages 469-503, July.
  12. 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.
  13. Daniel Bartl & Patrick Cheridito & Michael Kupper, 2017. "Robust expected utility maximization with medial limits," Papers 1712.07699, arXiv.org, revised Nov 2018.
  14. Wing Fung Chong & Gechun Liang, 2018. "Optimal investment and consumption with forward preferences and uncertain parameters," Papers 1807.01186, arXiv.org, revised Nov 2023.
  15. Huyên Pham & Xiaoli Wei & Chao Zhou, 2022. "Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 349-404, January.
  16. Daniel Bartl & Michael Kupper & Ariel Neufeld, 2020. "Duality Theory for Robust Utility Maximisation," Papers 2007.08376, arXiv.org, revised Jun 2021.
  17. Xu, Yuhong, 2022. "Optimal growth under model uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  18. H'el`ene Halconruy, 2021. "The insider problem in the trinomial model: a discrete-time jump process approach," Papers 2106.15208, arXiv.org, revised Sep 2023.
  19. Jonas Blessing & Michael Kupper & Alessandro Sgarabottolo, 2024. "Discrete approximation of risk-based prices under volatility uncertainty," Papers 2411.00713, arXiv.org.
  20. Huy N. Chau, 2020. "On robust fundamental theorems of asset pricing in discrete time," Papers 2007.02553, arXiv.org, revised Apr 2024.
  21. Ariel Neufeld & Matthew Ng Cheng En & Ying Zhang, 2024. "Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems," Papers 2403.09532, arXiv.org.
  22. Hanwu Li & Falei Wang, 2019. "Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework," Journal of Optimization Theory and Applications, Springer, vol. 183(2), pages 422-439, November.
  23. David Criens & Lars Niemann, 2022. "Robust utility maximization with nonlinear continuous semimartingales," Papers 2206.14015, arXiv.org, revised Aug 2023.
  24. Guohui Guan & Zongxia Liang & Yilun Song, 2022. "The continuous-time pre-commitment KMM problem in incomplete markets," Papers 2210.13833, arXiv.org, revised Feb 2023.
  25. Jan Obloj & Johannes Wiesel, 2021. "Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets," Papers 2105.00935, arXiv.org, revised Nov 2021.
  26. Junichi Imai, 2022. "A Numerical Method for Hedging Bermudan Options under Model Uncertainty," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 893-916, June.
  27. Jan Obłój & Johannes Wiesel, 2021. "Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1454-1493, October.
  28. 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.
  29. Daniel Bartl, 2016. "Conditional nonlinear expectations," Papers 1612.09103, arXiv.org, revised Mar 2019.
  30. Bartl, Daniel, 2020. "Conditional nonlinear expectations," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 785-805.
  31. Ariel Neufeld & Julian Sester, 2024. "Non-concave distributionally robust stochastic control in a discrete time finite horizon setting," Papers 2404.05230, arXiv.org.
  32. David Criens & Lars Niemann, 2023. "Robust utility maximization with nonlinear continuous semimartingales," Mathematics and Financial Economics, Springer, volume 17, number 5, February.
  33. Ruslan Mirmominov & Johannes Wiesel, 2024. "A dynamic programming principle for multiperiod control problems with bicausal constraints," Papers 2410.23927, arXiv.org.
  34. Junbeom Lee & Xiang Yu & Chao Zhou, 2019. "Lifetime Ruin under High-watermark Fees and Drift Uncertainty," Papers 1909.01121, arXiv.org, revised Oct 2020.
  35. Zhou Yang & Gechun Liang & Chao Zhou, 2017. "Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs," Papers 1711.02939, arXiv.org, revised Dec 2018.
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