Robust state-dependent mean–variance portfolio selection : a closed-loop approach Tekijä Han, Bingyan, Pun, Chi Seng, Wong, Hoi Ying

Hae kokoteksti

Duality theory for robust utility maximisation Tekijä Bartl, Daniel, Kupper, Michael, Neufeld, Ariel

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Performance of utility based strategies for hedging basis risk Tekijä Monoyios, M

“…Using a distortion method (Zariphopoulou 2001, Finance and Stochastics 5, 61-82) we derive a nonlinear expectation representation for the claim's ask price and a formula for the optimal hedging strategy. …”