Portfolio optimization under model uncertainty and BSDE games

  title={Portfolio optimization under model uncertainty and BSDE games},
  author={Bernt \Oksendal and Agn{\`e}s Sulem},
We consider some robust optimal portfolio problems for markets modeled by (possibly non-Markovian) jump diffusions. Mathematically the situation can be described as a stochastic differential game, where one of the players (the agent) is trying to find the portfolio which maximizes the utility of her terminal wealth, while the other player (”the market”) is controlling some of the unknown parameters of the market (e.g. the underlying probability measure, representing a model uncertainty problem… CONTINUE READING


Publications referenced by this paper.
Showing 1-10 of 20 references

Optimal strategies under model uncertainty for general utilities and forward-backward SDE games, Manuscript

B. Øksendal, A. Sulem
View 1 Excerpt

Quenez: Exponential utility maximization and indifference price in an incomplete market with defaults

T. Lim, M.–C
View 2 Excerpts

Siu: A BSDE approach to a risk-based optimal investment of an insurer

T.K.R.J. Elliott
View 1 Excerpt

Øksendal: A maximum principle for stochastic differential games with g-expectation and partial information

B.T.T.K. An
Eprint, Dept of Math., Univ. of Oslo 4/2010 • 2010

Continuous -time Stochastic Control and Optimization with Financial Applications

H. Pham
View 1 Excerpt

Proske: Malliavin Calculus for Lévy Processes with Applications to Finance

G. Di Nunno, F. B. Øksendal

Scheemaekere: Dynamic risk indifference pricing in incomplete markets

X. De
Manuscript September • 2009

A game theoretic approach to martingale measures in incomplete markets. Eprint, Dept. of Mathematics, University of Oslo 24/2006

B. Øksendal, A. Sulem
Survey of Applied and Industrial Mathematics (TVP Publishers, Moscow), • 2008
View 1 Excerpt

Similar Papers

Loading similar papers…