Risk Measures and Robust Optimization Problems

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UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME (2013, background): “Most of the literature on the robust utility maximization in mathematical finance, starting with [27] and [31], assumes that the set P is dominated by a reference measure P∗; we refer to [31] for an extensive survey.”
Exponential utility maximization under model uncertainty for unbounded endowments (2016, background): “In the presence of uncertainty, starting with [38] and [39], most results are obtained under the assumption that P is dominated, see e.”
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties (2007, unknown): “Optimal investment problems for robust utility functionals (1) were considered by, among others, Talay and Zheng [29], Quenez [23], Schied [24,25], Burgert and Rüschendorf [5], Schied and Wu [27], Föllmer and Gundel [10], and the authors [15].”
Entropic Value-at-Risk: A New Coherent Risk Measure (2012, background): “See [11] for further technical details and other interesting results on convex risk measures until 2006.”