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Browsing by Author "Schied, Alexander"
Now showing items 1-9 of 9
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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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2001-10-20BuchConvex measures of risk and trading constraints Föllmer, Hans; Schied, Alexander
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2005-04-27BuchDuality Theory for Optimal Investments under Model Uncertainty Schied, Alexander; Wu, Ching-TangRobust utility functionals arise as numerical representations of investor preferences, when the investor is uncertain about the underlying probabilistic model and averse against both risk and model uncertainty. In this ...
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2005-09-26BuchOptimal investments for risk- and ambiguityaverse preferences A duality approachSchied, AlexanderAmbiguity, also called Knightian or model uncertainty, is a key feature in financial modeling. A recent paper by Maccheroni et al. (2004) characterizes investor preferences under aversion against both risk and ambiguity. ...
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2006-09-11BuchOptimal investments for risk- and ambiguityaverse preferences A duality approachSchied, AlexanderAmbiguity, also called Knightian or model uncertainty, is a key feature in financial modeling. A recent paper by Maccheroni et al. (2004) characterizes investor preferences under aversion against both risk and ambiguity. ...
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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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2007-05-18BuchRobust Optimal Control for a Consumptioninvestment Problem Schied, AlexanderWe give an explicit PDE characterization for the solution of the problem of maximizing the utility of both terminal wealth and intertemporal consumption under model uncertainty. The underlying market model consists of a ...
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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 ...
