no code implementations • 16 Jul 2020 • Daniel Bartl, Michael Kupper, Ariel Neufeld
In this paper we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real axis.
no code implementations • 23 Mar 2020 • Daniel Bartl, Ludovic Tangpi
Let $\rho$ be a general law--invariant convex risk measure, for instance the average value at risk, and let $X$ be a financial loss, that is, a real random variable.
no code implementations • 8 May 2017 • Daniel Bartl, Michael Kupper, David J. Prömel, Ludovic Tangpi
If the sample space is stable under stopping, the probabilistic problem reduces to finding the supremum over all martingale measures with compact support.
