Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their value function, optimal investment policy and Davis' option prices to model u...
| Autors principals: | , |
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| Format: | Journal article |
| Idioma: | English |
| Publicat: |
Wiley
2021
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