@article{TVP_2011_56_2_a9,
author = {I. S. Morozov},
title = {Differentiability of objective function in robast utility maximization},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {374--384},
year = {2011},
volume = {56},
number = {2},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_2011_56_2_a9/}
}
I. S. Morozov. Differentiability of objective function in robast utility maximization. Teoriâ veroâtnostej i ee primeneniâ, Tome 56 (2011) no. 2, pp. 374-384. http://geodesic.mathdoc.fr/item/TVP_2011_56_2_a9/
[1] Kramkov D., Schachermayer W., “The asymptotic elasticity of utility functions and optimal investment in incomplete markets”, Ann. Appl. Probab., 9:3 (1999), 904–950 | DOI | MR | Zbl
[2] Kramkov D., Schachermayer W., “Necessary and sufficient conditions in the problem of optimal investment in incomplete markets”, Ann. Appl. Probab., 13:4 (2003), 1504–1516 | DOI | MR | Zbl
[3] Schachermayer W., “Optimal investment in incomplete markets when wealth may become negative”, Ann. Appl. Probab., 11:3 (2001), 694–734 | DOI | MR | Zbl
[4] Schied A., Wu C.-T., “Duality theory for optimal investments under model uncertainty”, Statist. Decisions, 23:3 (2005), 199–217 | DOI | MR | Zbl
[5] Burgert C., Rüschendorf L., “Optimal consumption strategies under model uncertainty”, Statist. Decisions, 23:1 (2005), 1–14 | DOI | MR | Zbl
[6] Gundel A., “Robust utility maximization for complete and incomplete market models”, Finance Stoch., 9:2 (2005), 151–176 | DOI | MR | Zbl
[7] Föllmer H., Gundel A., “Robust projections in the class of martingale measures”, Illinois J. Math., 50:2 (2006), 439–472 | MR
[8] Guschin A. A., “Dvoistvennaya kharakterizatsiya tseny v zadache maksimizatsii robastnoi poleznosti”, Teoriya veroyatn. i ee primen., 55:4 (2010), 680–704
[9] Morozov I. S., “Rasshirenie klassa dopustimykh strategii v zadache maksimizatsii robastnoi poleznosti s konechnoi na $\mathbb R$ funktsiei poleznosti”, Obozrenie prikl. i promyshl. matem., 17:5 (2010), 617–635
[10] Schied A., “Optimal investments for risk- and ambiguity-averse preferences: a duality approach”, Finance Stoch., 11:1 (2007), 107–129 | DOI | MR | Zbl
[11] Guschin A. A., “O rasshirenii ponyatiya $f$-divergentsii”, Teoriya veroyatn. i ee primen., 52:3 (2007), 468–489