Duality theory for robust utility maximisation

Duality theory for robust utility maximisation

In this paper, we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real line. Our results are inspired by – and can be seen as the robust analogues of – the seminal work of Kramkov and Schachermayer (Ann. Appl. Prob...

Saved in:

書目詳細資料
Main Authors:	Bartl, Daniel, Kupper, Michael, Neufeld, Ariel
其他作者:	School of Physical and Mathematical Sciences
格式:	Article
語言:	English
出版:	2022
主題:	Science::Mathematics Bipolar Theorem Drift and Volatility Uncertainty
在線閱讀:	https://hdl.handle.net/10356/162314
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

相似書籍

Bounding the difference between the values of robust and non-robust Markov decision problems
由: Neufeld, Ariel, et al.
出版: (2025)

Compactness criterion for semimartingale laws and semimartingale optimal transport
由: Liu, Chong, et al.
出版: (2021)

Limit theory for moderate deviations from integrated GARCH processes
由: TAO, Yubo
出版: (2019)

Completeness theory for propositional logics
由: Pogorzelski, Witold ; Wojtylak, Piotr
出版: (2017)

Limit theory for moderate deviation from Integrated GARCH processes
由: TAO, Yubo
出版: (2019)

On modified farey trees and pthagorean triples
由: Dael, Manell Jia P., et al.
出版: (2016)

Monitoring building shift using a robust speckle correlation encoder scheme
由: Ng, T.W., et al.
出版: (2014)

Self-Propelled Supercapacitors for On-Demand Circuit Conﬁguration Based on WS2 Nanoparticles Micromachines
由: Mayorga-Martinez, Carmen Clotilde, et al.
出版: (2017)

Learning under concept drift with follow the regularized leader and adaptive decaying proximal
由: Huynh, Ngoc Anh, et al.
出版: (2018)

Metabolic drift in the aging brain
由: Stauch, Kelly L., et al.
出版: (2016)

Nonconcave robust optimization with discrete strategies under Knightian uncertainty
由: Neufeld, Ariel, et al.
出版: (2020)

On the robustness of the positive relation between expected idiosyncratic volatility and expected return
由: FU, Fangjian
出版: (2010)

A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete Data
由: PHILLIPS, Peter C. B., et al.
出版: (2009)

A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete Data
由: PHILLIPS, Peter C. B., et al.
出版: (2006)

Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set
由: Pun, Chi Seng, et al.
出版: (2024)

A geometric method for singular c-optimal designs
由: Fan, S.K., et al.
出版: (2014)

X-Fuzz: an evolving and interpretable neurofuzzy learner for data streams
由: Ferdaus, Md Meftahul, et al.
出版: (2024)

Duality theorem for banach-valued function spaces
由: Jitti Rakbud, et al.
出版: (2018)

Averaging plus learning models and their asymptotics
由: Popescu, Ionel, et al.
出版: (2023)

Managing service quality: Applying utility theory in the prioritization of service attributes
由: Li, Y.N., et al.
出版: (2014)

A fresh approach to generating Pythagorean triples
由: Andal, Don Perry, et al.
出版: (2021)

A generalization of cohen's theorem
由: Nguyen, Trong Bac, 1986-
出版: (2023)

Uncertainty, depreciation and industry growth
由: SAMAIEGO, Roberto, et al.
出版: (2019)

Constrained neuro fuzzy inference methodology for explainable personalised modelling with applications on gene expression data
由: Singh, Balkaran, et al.
出版: (2023)

Clozapine use for bipolar disorder: an Asian psychotropic prescription patterns consortium study
由: Loo, Javier Lek Wei, et al.
出版: (2023)

A two-stage realized volatility approach to the estimation for diffusion processes from discrete observations
由: PHILLIPS, Peter C. B., et al.
出版: (2005)

Particle Detection with Drift Chambers
出版: (2017)

Composite step-graded collector of InP/InGaAs/lnP DHBT for minimised carrier blocking
由: Chor, E.F., et al.
出版: (2014)

Genetic association studies of glutamate, GABA and related genes in schizophrenia and bipolar disorder: A decade of advance
由: Cherlyn, S.Y.T., et al.
出版: (2011)

SOME RESULTS ABOUT HINDMAN'S THEOREM AND GOWERS' THEOREM IN REVERSE MATHEMATICS.
由: LIAO YUKE
出版: (2023)

Theory of spintronics in nanostructure
由: CHUNG NYUK LEONG
出版: (2013)

Aspects of index theory
由: FAN JUNJIE, BERTRAND
出版: (2010)

Robust Temporal Constraint Network
由: Lau, H.C., et al.
出版: (2013)

Online tool condition monitoring based on parsimonious ensemble
由: Pratama, Mahardhika, et al.
出版: (2021)

On Martin's pointed tree theorem
由: Hölzl R., et al.
出版: (2020)

Unextendible mutually unbiased bases from Pauli classes
由: Mandayam, P., et al.
出版: (2016)

The mood stabilizer lithium slows down synaptic vesicle cycling at glutamatergic synapses
由: Tang, Willcyn, et al.
出版: (2023)

Turing degrees in Polish spaces and decomposability of Borel functions
由: Gregoriades, Vassillos, et al.
出版: (2022)

Influenza B Outbreak among influenza-vaccinated welfare home residents in Singapore
由: Win, M.K., et al.
出版: (2014)

Bipolar conduction and giant positive magnetoresistance in doped metallic titanium oxide heterostructures
由: Huang, Ke, et al.
出版: (2021)