2 papers
q-fin.PM2009
Robust utility maximization for diffusion market model with misspecified coefficients
R. Tevzadze, T. Toronjadze
The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose pric…
q-fin.PR2009
Robust mean-variance hedging in the single period model
R. Tevzadze, T. Uzunashvili
We give an explicit solution of robust mean-variance hedging problem in the single period model for some type of contingent claims. The alternative approach is also considered.