55 citations · 199 across the 14 of their papers we have counts for
Showing q-fin.PMShow all
2 papers · 1 filter
q-fin.PM2017★ 36 cited
Robust expected utility maximization with medial limits
Daniel Bartl, Patrick Cheridito, Michael Kupper
In this paper we study a robust expected utility maximization problem with random endowment in discrete time. We give conditions under which an optimal strategy exists and derive a…
q-fin.PM2016★ 48 cited
Exponential utility maximization under model uncertainty for unbounded endowments
Daniel Bartl
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nond…