Robust Preferences and Robust Portfolio Choice
By Alexander Schied, Hans Föllmer, Stefan Weber. 2009
110 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/7d9744ec60d801c39f7e2ea43c586c789ddd2eee
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
- Peter Spoida
- Pierre Henry-Labordère
- Nizar Touzi
- Jan Obłój
- Emmanuel Gobet
- Bruno Bouchard
- Marcel Nutz
- Huyen Pham
In Finance
- Nizar Touzi
- Pierre Henry-Labordère
- Peter Spoida
- Jan Obłój
- Marcel Nutz
- H. M. Soner
- Jianfeng Zhang
- Arnulf Jentzen
In Management Science and Operations Research
- Peter Spoida
- Pierre Henry-Labordère
- Nizar Touzi
- Jan Obłój
- Marcel Nutz
- H. M. Soner
- Jianfeng Zhang
- Yan Dolinsky
Citations in the corpus
- Continuity properties of law-invariant (quasi-)convex risk functions on L∞ (2010, unknown): “This may be no surprise, it seems obvious that the standardness of the underlying probability space should not play a prominent role, however we feel the necessity of clarifying this fact since the main result of [11] is often cited (see [1,3,7,8,10,12,13,17], and many more).”
- The maximum maximum of a martingale with given $\mathbf{n}$ marginals (2012, background): “This has important implications for portfolio choice problems, see F¨ollmer, Schied and Weber [18], but is not different from an incomplete market setup in terms of option pricing.”