Optimal Portfolio in a Multiple-Priors Model

By Marie Claire Quenez. 2004

104 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/8999338676d0b7e6f6a6483581f20f0fa84124fb

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In Management Science and Operations Research

Citations in the corpus

Risk minimizing portfolios and HJBI equations for stochastic differential games (2008, background): “See also [11,14,15,22,28,31] for papers of related interest.”
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.”
Robust utility maximization in a stochastic factor model (2006, methodology): “As for robust utility maximization, it was already observed by Quenez [19] that it is natural to apply control methods to the dual problem rather than to the primal one, since the dual value function v of the robust problem has a much simpler structure than the primal value function u: The function ”
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.”
Robust Preferences and Robust Portfolio Choice (2009, unknown): “The following result is taken from QUENEZ [2004].”
Risk Measures and Robust Optimization Problems (2006, methodology): “In robust utility maximization, it has been employed by Quenez[56] together stochastic control techniques involving backward”
Duality theory for optimal investments under model uncertainty (2005, methodology): “We emphasize once more that (ii) is strictly weaker than the assumtion that all measures in Q are equivalent to P, which is assumed in [ 16 ], [11] and rules out many examples, which are explicitly solvable for complete models [19].”
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].”
Robust projections in the class of martingale measures (2006, background): “Recently Quenez [36] and Schied and Wu [41] have extended this version of the duality approach from the classical case with Q = {Q0} to the robust case.”