Robust Utility Maximization In Nondominated Models With 2bsde: The Uncertain Volatility Model

Citations

Cited by:

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6. Huyên Pham & Xiaoli Wei & Chao Zhou, 2021. "Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach," Working Papers hal-01867133, HAL.
7. Ariel Neufeld & Julian Sester & Mario Šikić, 2023. "Markov decision processes under model uncertainty," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 618-665, July.
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14. Andrew Papanicolaou, 2018. "Backward SDEs for Control with Partial Information," Papers 1807.08222, arXiv.org.
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18. Daniel Bartl & Michael Kupper & Ariel Neufeld, 2020. "Duality Theory for Robust Utility Maximisation," Papers 2007.08376, arXiv.org, revised Jun 2021.
19. Chao Deng & Xizhi Su & Chao Zhou, 2020. "Relative wealth concerns with partial information and heterogeneous priors," Papers 2007.11781, arXiv.org.
20. Wing Fung Chong & Gechun Liang, 2024. "Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach," Papers 2410.01378, arXiv.org.
21. Stefan Ankirchner & Christophette Blanchet-Scalliet & Nabil Kazi-Tani & Chao Zhou, 2021. "Gambling for resurrection and the heat equation on a triangle," Post-Print hal-02405853, HAL.
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24. Wing Fung Chong & Gechun Liang, 2018. "Optimal investment and consumption with forward preferences and uncertain parameters," Papers 1807.01186, arXiv.org, revised Nov 2023.
25. 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.
26. Dirk Becherer & Klebert Kentia, 2017. "Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility," Papers 1704.02505, arXiv.org.
27. Tim Leung & Hyungbin Park & Heejun Yeo, 2023. "Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs," Papers 2310.02084, arXiv.org.
28. Daniel Bartl & Ariel Neufeld & Kyunghyun Park, 2023. "Sensitivity of robust optimization problems under drift and volatility uncertainty," Papers 2311.11248, arXiv.org.
29. Ivan Guo & Nicolas Langrené & Gregoire Loeper & Wei Ning, 2020. "Robust utility maximization under model uncertainty via a penalization approach," Working Papers hal-02910261, HAL.
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