55 citations · 199 across the 14 of their papers we have counts for
4 papers · 1 filter
Duality Theory for Robust Utility Maximisation
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. Our results are in…
Adapted Wasserstein Distances and Stability in Mathematical Finance
Julio Backhoff-Veraguas, Daniel Bartl, Mathias Beiglböck +1
Assume that an agent models a financial asset through a measure Q with the goal to price / hedge some derivative or optimize some expected utility. Even if the model Q is chosen in…
Pathwise superhedging on prediction sets
Daniel Bartl, Michael Kupper, Ariel Neufeld
In this paper we provide a pricing-hedging duality for the model-independent superhedging price with respect to a prediction set , where the superhedging propert…
Duality for pathwise superhedging in continuous time
Daniel Bartl, Michael Kupper, David J. Prömel +1
We provide a model-free pricing-hedging duality in continuous time. For a frictionless market consisting of risky assets with continuous price trajectories, we show that the pu…