42 citations · 203 across the 34 of their papers we have counts for
9 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…
A semigroup approach to nonlinear Lévy processes
Robert Denk, Michael Kupper, Max Nendel
We study the relation between Lévy processes under nonlinear expectations, nonlinear semigroups and fully nonlinear PDEs. First, we establish a one-to-one relation between nonlinea…
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…
A Fenchel-Moreau theorem for -valued functions
Samuel Drapeau, Asgar Jamneshan, Michael Kupper
We establish a Fenchel-Moreau type theorem for proper convex functions , where is a dual pair of Banach spaces and $\b…
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…