Robust projections in the class of martingale measures
By Hans Föllmer, Anne Gundel. 2006
60 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/35e6bb157abcb086696175bfed60311631454572
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Alexander Schied
- Daniel Hernandez-Hernandez
- Peter D. Grünwald
- Wouter M. Koolen
- Rianne de Heide
- Ruodu Wang
- Stefan Weber
- Aaditya Ramdas
In Finance
- Alexander Schied
- Daniel Hernandez-Hernandez
- Peter D. Grünwald
- Stefan Weber
- Hans Föllmer
- Rose-Anne Dana
- Andrzej Ruszczynski
- Alexander Shapiro
In Management Science and Operations Research
- Alexander Schied
- Daniel Hernandez-Hernandez
- Wouter M. Koolen
- Peter D. Grünwald
- Rianne de Heide
- Stefan Weber
- Hans Föllmer
- Rose-Anne Dana
Citations in the corpus
- Robust utility maximization in a stochastic factor model (2006, methodology): “In the vast majority of the corresponding literature it is assumed that the optimality criterion is based on a classical expected utility functional of the form X 7−→ E[ U(X) ], (1) where U is a utility function.”
- Risk Measures and Robust Optimization Problems (2006, methodology): “It was extended to the general case by Schied and Wu [64] ; see also Follmer and Gundel [30] for a different technique and Schied [68] for a further extension.”
- Optimal arbitrage under model uncertainty. (2011, unknown): “…also been treated by other authors, among them Gilboa and Schmeidler (1989), Gundel (2005), Shied and Wu (2005), Karatzas and Zamfirescu (2005), Föllmer and Gundel (2006), Schied (2007), Riedel (2009), Bayraktar and Yao (2011), Bayraktar, Karatzas and Yao (2011) and Kardaras and Robertson…”
- ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS (2011, unknown): “9 in Föllmer&Gundel [6].”
- A control approach to robust utility maximization with logarithmic utility and time-consistent penalties (2007, methodology): “T is a least favorable martingale measure in the sense of Föllmer and Gundel [10].”
- Safe Testing (2019, background): “…in both the information-theoretic community (a pioneering paper being (Rüschendorf, 1984)) and the mathematical finance community (Gundel, 2005; Föllmer and Gundel, 2006); the robust optimization problems in the latter two papers, when instantiated to logarithmic utility, bear some resemblance…”