55 citations · 199 across the 14 of their papers we have counts for
6 papers · 1 filter
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…
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…
Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
Daniel Bartl, Michael Kupper, Thibaut Lux +2
Motivated by applications in model-free finance and quantitative risk management, we consider Fréchet classes of multivariate distribution functions where additional information on…
Computational aspects of robust optimized certainty equivalents and option pricing
Daniel Bartl, Samuel Drapeau, Ludovic Tangpi
Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable.…
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…
A pointwise bipolar theorem
Daniel Bartl, Michael Kupper
We provide a pointwise bipolar theorem for liminf-closed convex sets of positive Borel measurable functions on a sigma-compact metric space without the assumption that the polar is…