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Browsing by Author "Hernández–Hernández, Daniel"
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2006-09-11BuchA Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties Hernández–Hernández, Daniel; Schied, AlexanderWe propose a stochastic control approach to the dynamic maximization of robust utility functionals that are defined in terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market ...
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2007-03-25BuchRobust Maximization of Consumption with Logarithmic Utility Hernández–Hernández, Daniel; Schied, AlexanderWe analyze the stochastic control approach to the dynamic maximization of the robust utility of consumption and investment. The robust utility functionals are defined in terms of logarithmic utility and a dynamically ...
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2006-01-25BuchRobust Utility Maximization in a Stochastic Factor Model Hernández–Hernández, Daniel; Schied, AlexanderWe give an explicit PDE characterization for the solution of a robust utilitymaximization problem in an incomplete market model, whose volatility, interest rateprocess, and long-term trend are driven by an external stochastic ...
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2006-09-11BuchRobust Utility Maximization in a Stochastic Factor Model Schied, Alexander; Hernández–Hernández, DanielWe give an explicit PDE characterization for the solution of a robust utilitymaximization problem in an incomplete market model, whose volatility, interest rateprocess, and long-term trend are driven by an external stochastic ...