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...

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Bibliographic Details
Main Authors: Obłój, JK, Wiesel, J
Format: Journal article
Language:English
Published: Wiley 2021