A Stochastic Control Approach to a Robust Utility Maximization Problem
By Giuliana Bordigoni, Anis Matoussi, Martin Schweizer. 2007
95 citations recorded by the source corpus.
Subfields: Demography, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/f2c976a7b81056ee03c2f01b262b3e2d432c82ec
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Bernt Øksendal
- Alexander Schied
- Hans Föllmer
- Stefan Weber
- Sure Mataramvura
- Agnès Sulem
- J. Ziegel
- Jocelyne Bion-Nadal
In Finance
- Alexander Schied
- Stefan Weber
- Bernt Øksendal
- Hans Föllmer
- Daniel Hernandez-Hernandez
- Sure Mataramvura
- Andrzej Ruszczynski
- Agnès Sulem
In Management Science and Operations Research
- Alexander Schied
- Stefan Weber
- Bernt Øksendal
- Hans Föllmer
- Daniel Hernandez-Hernandez
- Sure Mataramvura
- Andrzej Ruszczynski
- Alexander Shapiro
Citations in the corpus
- A control approach to robust utility maximization with logarithmic utility and time-consistent penalties (2007, background): “[4] for studies of the optimal consumption problem.”
- Robust utility maximization in a stochastic factor model (2006, background): “This concept involves the expected value with respect to the probability measure P, which is usually assumed to model accurately future stock price evolutions.”
- Robust Preferences and Robust Portfolio Choice (2009, methodology): “We refer, for instance, to FLEMING and SHEU [2000, 2003], HANSEN and SARGENT [2001], BARRIEU and EL KAROUI [2005], BORDIGONI et al. [2005], and the references therein.”
- Risk minimizing portfolios and HJBI equations for stochastic differential games (2008, methodology): “A stochastic control approach (different from ours) is presented in [3].”