34 citations · 79 across the 11 of their papers we have counts for
Showing 2015Show all
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math.OC2015★ 3 cited
Duality and optimality conditions in stochastic optimization and mathematical finance
Sara Biagini, Teemu Pennanen, Ari-Pekka Perkkiö
This article studies convex duality in stochastic optimization over finite discrete-time. The first part of the paper gives general conditions that yield explicit expressions for t…
q-fin.PM2015★ 1 cited
The Robust Merton Problem of an Ambiguity Averse Investor
Sara Biagini, Mustafa Pinar
We derive a closed form portfolio optimization rule for an investor who is diffident about mean return and volatility estimates, and has a CRRA utility. The novelty is that confide…