메뉴 건너뛰기




Volumn 15, Issue , 2009, Pages 29-87

Robust Preferences and Robust Portfolio Choice

Author keywords

[No Author keywords available]

Indexed keywords


EID: 70350329270     PISSN: 15708659     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S1570-8659(08)00002-1     Document Type: Chapter
Times cited : (74)

References (149)
  • 2
    • 0001157520 scopus 로고
    • A definition of subjective probability
    • Anscombe F.J., and Aumann R.J. A definition of subjective probability. Ann. Math. Stat. 34 (1963) 199-205
    • (1963) Ann. Math. Stat. , vol.34 , pp. 199-205
    • Anscombe, F.J.1    Aumann, R.J.2
  • 4
    • 33847420465 scopus 로고    scopus 로고
    • Coherent multiperiod risk adjusted values and Bellman's principle
    • Artzner P., Delbaen F., Eber J.-M., Heath D., and Ku H. Coherent multiperiod risk adjusted values and Bellman's principle. Ann. Oper. Res. 152 (2007) 5-22
    • (2007) Ann. Oper. Res. , vol.152 , pp. 5-22
    • Artzner, P.1    Delbaen, F.2    Eber, J.-M.3    Heath, D.4    Ku, H.5
  • 6
    • 25444517488 scopus 로고    scopus 로고
    • Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
    • Barles G., and Jakobsen E. Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations. SIAM J. Numer. Anal. 43 2 (2005) 540-558
    • (2005) SIAM J. Numer. Anal. , vol.43 , Issue.2 , pp. 540-558
    • Barles, G.1    Jakobsen, E.2
  • 7
    • 17444431216 scopus 로고    scopus 로고
    • Inf-convolution of risk measures and optimal risk transfer
    • Barrieu P., and El Karoui N. Inf-convolution of risk measures and optimal risk transfer. Financ. Stoch. 9 2 (2005) 269-298
    • (2005) Financ. Stoch. , vol.9 , Issue.2 , pp. 269-298
    • Barrieu, P.1    El Karoui, N.2
  • 8
    • 21844504763 scopus 로고
    • A general equilibrium model of portfolio insurance
    • Basak S. A general equilibrium model of portfolio insurance. Rev. Financ. Stud. 8 4 (1995) 1059-1090
    • (1995) Rev. Financ. Stud. , vol.8 , Issue.4 , pp. 1059-1090
    • Basak, S.1
  • 9
    • 0035592442 scopus 로고    scopus 로고
    • Value-at-risk based risk management: optimal policies and asset prices
    • Basak S., and Shapiro A. Value-at-risk based risk management: optimal policies and asset prices. Rev. Financ. Stud. 14 (2001) 371-405
    • (2001) Rev. Financ. Stud. , vol.14 , pp. 371-405
    • Basak, S.1    Shapiro, A.2
  • 10
    • 33645803025 scopus 로고    scopus 로고
    • Risk management with benchmarking
    • Basak S., Shapiro A., and Tepla L. Risk management with benchmarking. Manage. Sci. 52 4 (2006) 542-557
    • (2006) Manage. Sci. , vol.52 , Issue.4 , pp. 542-557
    • Basak, S.1    Shapiro, A.2    Tepla, L.3
  • 11
    • 0036062859 scopus 로고    scopus 로고
    • Conditioned stochastic differential equations: theory, examples and application to finance
    • Baudoin F. Conditioned stochastic differential equations: theory, examples and application to finance. Stoch. Proc. Appl. 100 (2002) 109-145
    • (2002) Stoch. Proc. Appl. , vol.100 , pp. 109-145
    • Baudoin, F.1
  • 12
    • 0000597594 scopus 로고
    • On solutions of minimax test problems for special capacities
    • Bednarski T. On solutions of minimax test problems for special capacities. Z. Wahrsch. Verw. Gebiete 58 (1981) 397-405
    • (1981) Z. Wahrsch. Verw. Gebiete , vol.58 , pp. 397-405
    • Bednarski, T.1
  • 13
    • 0001538825 scopus 로고
    • Binary experiments, minimax tests and 2-alternating capacities
    • Bednarski T. Binary experiments, minimax tests and 2-alternating capacities. Ann. Stat. 10 (1982) 226-232
    • (1982) Ann. Stat. , vol.10 , pp. 226-232
    • Bednarski, T.1
  • 14
    • 0000266043 scopus 로고
    • On the theory of option pricing
    • Bensoussan A. On the theory of option pricing. Acta Appl. Math. 2 2 (1984) 139-158
    • (1984) Acta Appl. Math. , vol.2 , Issue.2 , pp. 139-158
    • Bensoussan, A.1
  • 15
    • 0023349263 scopus 로고
    • Penalty functions and duality in stochastic programming via φ{symbol}-divergence functionals
    • Ben-Tal A., and Teboulle M. Penalty functions and duality in stochastic programming via φ{symbol}-divergence functionals. Math. Oper. Res. 12 (1987) 224-240
    • (1987) Math. Oper. Res. , vol.12 , pp. 224-240
    • Ben-Tal, A.1    Teboulle, M.2
  • 16
    • 34547301246 scopus 로고    scopus 로고
    • An old-new concept of convex risk measures: the optimized certainty equivalent
    • Ben-Tal A., and Teboulle M. An old-new concept of convex risk measures: the optimized certainty equivalent. Math. Financ. 17 3 (2007) 449-476
    • (2007) Math. Financ. , vol.17 , Issue.3 , pp. 449-476
    • Ben-Tal, A.1    Teboulle, M.2
  • 17
    • 84993030891 scopus 로고    scopus 로고
    • The effect of VaR-based risk management on asset prices and volatility smile
    • Berkelaar A., Cumperayot P., and Kouwenberg R. The effect of VaR-based risk management on asset prices and volatility smile. Eur. Financ. Manage. 8 2 (2002) 139-164
    • (2002) Eur. Financ. Manage. , vol.8 , Issue.2 , pp. 139-164
    • Berkelaar, A.1    Cumperayot, P.2    Kouwenberg, R.3
  • 19
    • 46449108818 scopus 로고    scopus 로고
    • A stochastic control approach to a robust utility maximization problem
    • To appear in, Springer
    • Bordigoni, G., Matoussi, A., Schweizer, M. (2005). A stochastic control approach to a robust utility maximization problem. To appear in Proceedings of Abel Symposium 2005, Springer.
    • (2005) Proceedings of Abel Symposium
    • Bordigoni, G.1    Matoussi, A.2    Schweizer, M.3
  • 20
    • 34547303274 scopus 로고    scopus 로고
    • Portfolio management with constraints
    • Boyle P., and Tian W. Portfolio management with constraints. Math. Financ. 17 3 (2007) 319-343
    • (2007) Math. Financ. , vol.17 , Issue.3 , pp. 319-343
    • Boyle, P.1    Tian, W.2
  • 21
    • 0001024250 scopus 로고
    • Portfolio insurance and financial market equilibrium
    • Brennan M.J., and Schwartz E.S. Portfolio insurance and financial market equilibrium. J. Bus. 62 4 (1989) 455-472
    • (1989) J. Bus. , vol.62 , Issue.4 , pp. 455-472
    • Brennan, M.J.1    Schwartz, E.S.2
  • 22
    • 34347374012 scopus 로고    scopus 로고
    • Optimal consumption strategies under model uncertainty
    • Burgert C., and Rüschendorf L. Optimal consumption strategies under model uncertainty. Stat. Decis. 23 1 (2005) 1-14
    • (2005) Stat. Decis. , vol.23 , Issue.1 , pp. 1-14
    • Burgert, C.1    Rüschendorf, L.2
  • 23
    • 0346317304 scopus 로고    scopus 로고
    • Core of convex distortions of a probability
    • Carlier G., and Dana R.A. Core of convex distortions of a probability. J. Econom. Theory 113 2 (2003) 199-222
    • (2003) J. Econom. Theory , vol.113 , Issue.2 , pp. 199-222
    • Carlier, G.1    Dana, R.A.2
  • 24
    • 0000525686 scopus 로고    scopus 로고
    • Pricing and hedging in incomplete markets
    • Carr P., Geman H., and Madan D. Pricing and hedging in incomplete markets. J. Financ. Econom. 62 (2001) 131-167
    • (2001) J. Financ. Econom. , vol.62 , pp. 131-167
    • Carr, P.1    Geman, H.2    Madan, D.3
  • 25
    • 33746049441 scopus 로고    scopus 로고
    • Optimal consumption-investment problems in incomplete markets with stochastic coefficients
    • Castañeda-leyva N., and Hernández-Hernández D. Optimal consumption-investment problems in incomplete markets with stochastic coefficients. SIAM J. Control Optim. 44 4 (2005) 1322-1344
    • (2005) SIAM J. Control Optim. , vol.44 , Issue.4 , pp. 1322-1344
    • Castañeda-leyva, N.1    Hernández-Hernández, D.2
  • 26
    • 2542494958 scopus 로고    scopus 로고
    • Coherent and convex monetary risk measures for bounded càdlàg processes
    • Cheridito P., Delbaen F., and Kupper M. Coherent and convex monetary risk measures for bounded càdlàg processes. Stoch. Proc. Appl. 112 (2004) 1-22
    • (2004) Stoch. Proc. Appl. , vol.112 , pp. 1-22
    • Cheridito, P.1    Delbaen, F.2    Kupper, M.3
  • 27
    • 21244441820 scopus 로고    scopus 로고
    • Coherent and convex monetary risk measures for unbounded càdlàg processes
    • Cheridito P., Delbaen F., and Kupper M. Coherent and convex monetary risk measures for unbounded càdlàg processes. Financ. Stoch. 9 (2005) 1713-1732
    • (2005) Financ. Stoch. , vol.9 , pp. 1713-1732
    • Cheridito, P.1    Delbaen, F.2    Kupper, M.3
  • 28
    • 31544480340 scopus 로고    scopus 로고
    • Dynamic monetary risk measures for bounded discrete-time processes
    • Cheridito P., Delbaen F., and Kupper M. Dynamic monetary risk measures for bounded discrete-time processes. Electron. J. Probab. 11 (2006) 57-106
    • (2006) Electron. J. Probab. , vol.11 , pp. 57-106
    • Cheridito, P.1    Delbaen, F.2    Kupper, M.3
  • 29
    • 33747882452 scopus 로고    scopus 로고
    • Weighted VaR and its properties
    • Cherny A. Weighted VaR and its properties. Financ. Stoch. 10 3 (2006) 367-393
    • (2006) Financ. Stoch. , vol.10 , Issue.3 , pp. 367-393
    • Cherny, A.1
  • 30
    • 34548082191 scopus 로고    scopus 로고
    • Equilibrium with coherent risk
    • Cherny A. Equilibrium with coherent risk. Theory Probab. Appl. 52 4 (2007) 34
    • (2007) Theory Probab. Appl. , vol.52 , Issue.4 , pp. 34
    • Cherny, A.1
  • 31
    • 34548065962 scopus 로고    scopus 로고
    • Pricing and hedging European options with discrete-time coherent risk
    • Cherny A. Pricing and hedging European options with discrete-time coherent risk. Financ. Stoch. 11 4 (2007) 537-569
    • (2007) Financ. Stoch. , vol.11 , Issue.4 , pp. 537-569
    • Cherny, A.1
  • 32
    • 33847415868 scopus 로고    scopus 로고
    • Dilatation monotone risk measures are law invariant
    • Cherny A., and Grigoriev P. Dilatation monotone risk measures are law invariant. Financ. Stoch. 11 2 (2007) 291-298
    • (2007) Financ. Stoch. , vol.11 , Issue.2 , pp. 291-298
    • Cherny, A.1    Grigoriev, P.2
  • 34
    • 0000748168 scopus 로고
    • Theory of capacities
    • Choquet G. Theory of capacities. Ann. Inst. Fourier 5 (1953) 131-295
    • (1953) Ann. Inst. Fourier , vol.5 , pp. 131-295
    • Choquet, G.1
  • 35
    • 33745038284 scopus 로고    scopus 로고
    • Model uncertainty and its impact on the pricing of derivative instruments
    • Cont R. Model uncertainty and its impact on the pricing of derivative instruments. Math. Financ. 16 (2006) 519-542
    • (2006) Math. Financ. , vol.16 , pp. 519-542
    • Cont, R.1
  • 36
    • 0001856347 scopus 로고
    • Eine informationstheoretische Ungleichung und ihre Anwendung auf den Beweis der Ergodizität von Markoffschen Ketten
    • Csiszar I. Eine informationstheoretische Ungleichung und ihre Anwendung auf den Beweis der Ergodizität von Markoffschen Ketten. Magyar Tud. Akad. Mat. Kutató Int. Közl. 8 (1963) 85-108
    • (1963) Magyar Tud. Akad. Mat. Kutató Int. Közl. , vol.8 , pp. 85-108
    • Csiszar, I.1
  • 37
    • 0002743439 scopus 로고
    • On topological properties of f -divergences
    • Csiszar I. On topological properties of f -divergences. Studia. Sci. Math. Hungarica 2 (1967) 329-339
    • (1967) Studia. Sci. Math. Hungarica , vol.2 , pp. 329-339
    • Csiszar, I.1
  • 38
    • 36549030146 scopus 로고    scopus 로고
    • Optimal dynamic trading strategies with risk limits
    • To appear.
    • Cuoco D., He H., and Isaenko S. Optimal dynamic trading strategies with risk limits. Oper. Res. (2007) To appear.
    • (2007) Oper. Res.
    • Cuoco, D.1    He, H.2    Isaenko, S.3
  • 39
    • 33646877677 scopus 로고    scopus 로고
    • An analysis of VaR-based capital requirements
    • Cuoco D., and Liu H. An analysis of VaR-based capital requirements. J. Financ. Intermed. 15 (2006) 362-394
    • (2006) J. Financ. Intermed. , vol.15 , pp. 362-394
    • Cuoco, D.1    Liu, H.2
  • 40
    • 0344840831 scopus 로고    scopus 로고
    • Generalized Neyman-Pearson lemma via convex duality
    • Cvitanic J., and Karatzas I. Generalized Neyman-Pearson lemma via convex duality. Bernoulli 7 (2001) 79-97
    • (2001) Bernoulli , vol.7 , pp. 79-97
    • Cvitanic, J.1    Karatzas, I.2
  • 41
    • 25644443180 scopus 로고    scopus 로고
    • A representation result for concave Schur concave functions
    • Dana R.-A. A representation result for concave Schur concave functions. Math. Financ. 15 (2005) 613-634
    • (2005) Math. Financ. , vol.15 , pp. 613-634
    • Dana, R.-A.1
  • 44
    • 33747892079 scopus 로고    scopus 로고
    • The structure of m-stable sets and in particular of the set of riskneutral measures
    • Yor M., and Émery M. (Eds), Springer, Berlin, Germany, Heidelberg, Germany, New York, NY
    • Delbaen F. The structure of m-stable sets and in particular of the set of riskneutral measures. In: Yor M., and Émery M. (Eds). In Memoriam Paul-André Meyer - Séminaire de Probabilités XXXIX (2006), Springer, Berlin, Germany, Heidelberg, Germany, New York, NY 215-258
    • (2006) In Memoriam Paul-André Meyer - Séminaire de Probabilités XXXIX , pp. 215-258
    • Delbaen, F.1
  • 46
    • 33746876027 scopus 로고    scopus 로고
    • A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
    • Denis L., and Martini C. A theoretical framework for the pricing of contingent claims in the presence of model uncertainty. Ann. Appl. Probab. 16 2 (2006) 827-852
    • (2006) Ann. Appl. Probab. , vol.16 , Issue.2 , pp. 827-852
    • Denis, L.1    Martini, C.2
  • 47
    • 0003465639 scopus 로고
    • Kluwer Academic Publishers, Dordrecht, Netherlands Theory decision library series B: mathematical and statistical methods Volume 27.
    • Denneberg D. Non-Additive Measure and Integral (1994), Kluwer Academic Publishers, Dordrecht, Netherlands Theory decision library series B: mathematical and statistical methods Volume 27.
    • (1994) Non-Additive Measure and Integral
    • Denneberg, D.1
  • 48
    • 24144491067 scopus 로고    scopus 로고
    • Conditional and dynamic convex risk measures
    • Detlefsen K., and Scandolo G. Conditional and dynamic convex risk measures. Financ. Stoch. 9 4 (2005) 539-561
    • (2005) Financ. Stoch. , vol.9 , Issue.4 , pp. 539-561
    • Detlefsen, K.1    Scandolo, G.2
  • 50
    • 0001143199 scopus 로고
    • Stochastic differential utility. With an appendix by the authors and C. Skiadas
    • Duffie D., and Epstein L. Stochastic differential utility. With an appendix by the authors and C. Skiadas. Econometrica 60 2 (1992) 353-394
    • (1992) Econometrica , vol.60 , Issue.2 , pp. 353-394
    • Duffie, D.1    Epstein, L.2
  • 51
    • 49749143006 scopus 로고    scopus 로고
    • Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models
    • Dunkel, J., Weber, S. (2007). Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models, Proceedings of the 2007 Winter Simulation Conference, pp. 958-966, 2007.
    • (2007) Proceedings of the 2007 Winter Simulation Conference , pp. 958-966
    • Dunkel, J.1    Weber, S.2
  • 52
    • 33144486295 scopus 로고    scopus 로고
    • Polyhedral risk measures in stochastic programming
    • Eichhorn A., and Römisch W. Polyhedral risk measures in stochastic programming. SIAM J. Optim. 16 1 (2005) 69-95
    • (2005) SIAM J. Optim. , vol.16 , Issue.1 , pp. 69-95
    • Eichhorn, A.1    Römisch, W.2
  • 54
    • 0031542653 scopus 로고    scopus 로고
    • Backward stochastic differential equations in finance
    • El Karoui N., Peng S., and Quenez M.C. Backward stochastic differential equations in finance. Math. Financ. 7 1 (1997) 1-71
    • (1997) Math. Financ. , vol.7 , Issue.1 , pp. 1-71
    • El Karoui, N.1    Peng, S.2    Quenez, M.C.3
  • 55
    • 0035413556 scopus 로고    scopus 로고
    • A dynamic maximum principle for the optimization of recursive utilities under constraints
    • El Karoui N., Peng S., and Quenez M.C. A dynamic maximum principle for the optimization of recursive utilities under constraints. Ann. Appl. Probab. 11 3 (2001) 664-693
    • (2001) Ann. Appl. Probab. , vol.11 , Issue.3 , pp. 664-693
    • El Karoui, N.1    Peng, S.2    Quenez, M.C.3
  • 56
    • 0039840300 scopus 로고    scopus 로고
    • Optimal portfolios with bounded capital at risk
    • Emmer S., Korn R., and Klüppelberg C. Optimal portfolios with bounded capital at risk. Math. Financ. 11 4 (2001) 365-384
    • (2001) Math. Financ. , vol.11 , Issue.4 , pp. 365-384
    • Emmer, S.1    Korn, R.2    Klüppelberg, C.3
  • 57
    • 0034905749 scopus 로고    scopus 로고
    • Shortfall risk minimization under model uncertainty in the binomial case: adaptive and robust approaches
    • Favero G. Shortfall risk minimization under model uncertainty in the binomial case: adaptive and robust approaches. Math. Methods Oper. Res. 53 3 (2001) 493-503
    • (2001) Math. Methods Oper. Res. , vol.53 , Issue.3 , pp. 493-503
    • Favero, G.1
  • 58
    • 0037076845 scopus 로고    scopus 로고
    • A robustness result for stochastic control
    • Favero G., and Runggaldier W. A robustness result for stochastic control. Syst. Control Lett. 46 2 (2002) 91-97
    • (2002) Syst. Control Lett. , vol.46 , Issue.2 , pp. 91-97
    • Favero, G.1    Runggaldier, W.2
  • 59
    • 1842450989 scopus 로고    scopus 로고
    • An optimal consumption model with stochastic volatility
    • Fleming W., and Hernández-Hernández D. An optimal consumption model with stochastic volatility. Financ. Stoch. 7 2 (2003) 245-262
    • (2003) Financ. Stoch. , vol.7 , Issue.2 , pp. 245-262
    • Fleming, W.1    Hernández-Hernández, D.2
  • 61
    • 0034392970 scopus 로고    scopus 로고
    • Risk-sensitive control and an optimal investment model. INFORMS applied probability conference (Ulm, 1999)
    • Fleming W.H., and Sheu S.J. Risk-sensitive control and an optimal investment model. INFORMS applied probability conference (Ulm, 1999). Math. Financ. 10 2 (2000) 197-213
    • (2000) Math. Financ. , vol.10 , Issue.2 , pp. 197-213
    • Fleming, W.H.1    Sheu, S.J.2
  • 62
    • 0036338628 scopus 로고    scopus 로고
    • Risk-sensitive control and an optimal investment model, II
    • Fleming W.H., and Sheu S.J. Risk-sensitive control and an optimal investment model, II. Ann. Appl. Probab. 12 2 (2002) 730-767
    • (2002) Ann. Appl. Probab. , vol.12 , Issue.2 , pp. 730-767
    • Fleming, W.H.1    Sheu, S.J.2
  • 63
    • 84885096529 scopus 로고    scopus 로고
    • Probabilistic Aspects of Financial Risk. Plenary Lecture at the Third European Congress of Mathematics
    • Birkhäuser, Basel, Switzerland
    • Föllmer H. Probabilistic Aspects of Financial Risk. Plenary Lecture at the Third European Congress of Mathematics. Proceedings of the European Congress of Mathematics, Barcelona 2000 (2001), Birkhäuser, Basel, Switzerland
    • (2001) Proceedings of the European Congress of Mathematics, Barcelona 2000
    • Föllmer, H.1
  • 64
    • 0000015207 scopus 로고    scopus 로고
    • Efficient hedging: cost versus shortfall risk
    • Föllmer H., and Leukert P. Efficient hedging: cost versus shortfall risk. Financ. Stoch. 4 (2000) 117-146
    • (2000) Financ. Stoch. , vol.4 , pp. 117-146
    • Föllmer, H.1    Leukert, P.2
  • 65
    • 37249052699 scopus 로고    scopus 로고
    • Convex risk measures and the dynamics of their penalty functions
    • Föllmer H., and Penner I. Convex risk measures and the dynamics of their penalty functions. Stat. Decis. 24 1 (2006) 61-96
    • (2006) Stat. Decis. , vol.24 , Issue.1 , pp. 61-96
    • Föllmer, H.1    Penner, I.2
  • 66
    • 0038551367 scopus 로고    scopus 로고
    • Convex measures of risk and trading constraints
    • Föllmer H., and Schied A. Convex measures of risk and trading constraints. Financ. Stoch. 6 (2002) 429-447
    • (2002) Financ. Stoch. , vol.6 , pp. 429-447
    • Föllmer, H.1    Schied, A.2
  • 69
    • 33846841891 scopus 로고
    • On the representation of semimartingales
    • Föllmer H. On the representation of semimartingales. Ann. Probab. 1 4 (1973) 580-589
    • (1973) Ann. Probab. , vol.1 , Issue.4 , pp. 580-589
    • Föllmer, H.1
  • 70
    • 33846850597 scopus 로고    scopus 로고
    • Robust projections in the class of martingale measures
    • Föllmer H., and Gundel A. Robust projections in the class of martingale measures. Illinois J. Math. 50 2 (2006) 439-472
    • (2006) Illinois J. Math. , vol.50 , Issue.2 , pp. 439-472
    • Föllmer, H.1    Gundel, A.2
  • 76
    • 20444379508 scopus 로고    scopus 로고
    • Optimal portfolios with bounded shortfall risks
    • TU Chemnitz, Chemnitz, Germany
    • Gabih A., Grecksch W., and Wunderlich R. Optimal portfolios with bounded shortfall risks. 'Tagungsband zum Workshop Stochastic Analysis' (2004), TU Chemnitz, Chemnitz, Germany 21-41. (Available at: http://archiv.tu-chemnitz.de/pub/2004/0120)
    • (2004) 'Tagungsband zum Workshop Stochastic Analysis' , pp. 21-41
    • Gabih, A.1    Grecksch, W.2    Wunderlich, R.3
  • 77
    • 20444379323 scopus 로고    scopus 로고
    • Dynamic portfolio optimization with bounded shortfall risks
    • Gabih A., Grecksch W., and Wunderlich R. Dynamic portfolio optimization with bounded shortfall risks. Stoch. Anal. Appl. 3 23 (2005) 579-594
    • (2005) Stoch. Anal. Appl. , vol.3 , Issue.23 , pp. 579-594
    • Gabih, A.1    Grecksch, W.2    Wunderlich, R.3
  • 80
    • 0001266334 scopus 로고
    • Maxmin expected utility with non-unique prior
    • Gilboa I., and Schmeidler D. Maxmin expected utility with non-unique prior. J. Math. Econ. 18 (1989) 141-153
    • (1989) J. Math. Econ. , vol.18 , pp. 141-153
    • Gilboa, I.1    Schmeidler, D.2
  • 81
    • 0040834635 scopus 로고    scopus 로고
    • Equilibrium analysis of portfolio insurance
    • Grossman S.J., and Zhou Z. Equilibrium analysis of portfolio insurance. J. Financ. 51 4 (1996) 1379-1403
    • (1996) J. Financ. , vol.51 , Issue.4 , pp. 1379-1403
    • Grossman, S.J.1    Zhou, Z.2
  • 82
    • 17444364489 scopus 로고    scopus 로고
    • Robust utility maximization in complete and incomplete market models
    • Gundel A. Robust utility maximization in complete and incomplete market models. Financ. Stoch. 9 2 (2005) 151-176
    • (2005) Financ. Stoch. , vol.9 , Issue.2 , pp. 151-176
    • Gundel, A.1
  • 84
    • 34548689116 scopus 로고    scopus 로고
    • Robust utility maximization with limited downside risk in incomplete markets
    • Gundel A., and Weber S. Robust utility maximization with limited downside risk in incomplete markets. Stoch. Proc. Appl. 117 11 (2007) 1663-1688
    • (2007) Stoch. Proc. Appl. , vol.117 , Issue.11 , pp. 1663-1688
    • Gundel, A.1    Weber, S.2
  • 85
    • 52949093509 scopus 로고    scopus 로고
    • Utility maximization under a shortfall risk constraint
    • To appear in
    • Gundel, A., Weber, S. (2008). Utility maximization under a shortfall risk constraint. To appear in Journal of Mathematical Economics.
    • (2008) Journal of Mathematical Economics
    • Gundel, A.1    Weber, S.2
  • 87
    • 0002604958 scopus 로고    scopus 로고
    • Robust control and model uncertainty
    • Hansen L., and Sargent T. Robust control and model uncertainty. Am. Econ. Rev. 91 (2001) 60-66
    • (2001) Am. Econ. Rev. , vol.91 , pp. 60-66
    • Hansen, L.1    Sargent, T.2
  • 89
    • 2442421974 scopus 로고    scopus 로고
    • Pareto equilibria with coherent measures of risk
    • Heath D., and Ku H. Pareto equilibria with coherent measures of risk. Math. Financ. 14 2 (2004) 163-172
    • (2004) Math. Financ. , vol.14 , Issue.2 , pp. 163-172
    • Heath, D.1    Ku, H.2
  • 90
    • 33748638462 scopus 로고    scopus 로고
    • Robust utility maximization in a stochastic factor model
    • Hernández-Hernández D., and Schied A. Robust utility maximization in a stochastic factor model. Stat. Decis. 24 3 (2006) 109-125
    • (2006) Stat. Decis. , vol.24 , Issue.3 , pp. 109-125
    • Hernández-Hernández, D.1    Schied, A.2
  • 91
    • 34347391899 scopus 로고    scopus 로고
    • A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
    • Hernández-Hernández D., and Schied A. A control approach to robust utility maximization with logarithmic utility and time-consistent penalties. Stoch. Proc. Appl. 117 8 (2007) 980-1000
    • (2007) Stoch. Proc. Appl. , vol.117 , Issue.8 , pp. 980-1000
    • Hernández-Hernández, D.1    Schied, A.2
  • 93
    • 0001288023 scopus 로고
    • An axiomatic approach to measurable utility
    • Herstein I., and Milnor J. An axiomatic approach to measurable utility. Econometrica 21 (1953) 291-297
    • (1953) Econometrica , vol.21 , pp. 291-297
    • Herstein, I.1    Milnor, J.2
  • 94
    • 32144440334 scopus 로고    scopus 로고
    • Utility maximization in incomplete markets
    • Hu Y., Imkeller P., and Müller M. Utility maximization in incomplete markets. Ann. Appl. Probab. 15 3 (2005) 1691-1712
    • (2005) Ann. Appl. Probab. , vol.15 , Issue.3 , pp. 1691-1712
    • Hu, Y.1    Imkeller, P.2    Müller, M.3
  • 96
    • 0001151052 scopus 로고
    • Minimax tests and the Neyman-Pearson lemma for capacities
    • Huber P., and Strassen V. Minimax tests and the Neyman-Pearson lemma for capacities. Ann. Stat. 1 (1973) 251-263
    • (1973) Ann. Stat. , vol.1 , pp. 251-263
    • Huber, P.1    Strassen, V.2
  • 97
    • 4043111606 scopus 로고    scopus 로고
    • Paying for minimum interest rate guarantees: who should compensate whom
    • Jensen B.A., and Sorensen C. Paying for minimum interest rate guarantees: who should compensate whom. Eur. Financ. Manage. 7 2 (2001) 183-211
    • (2001) Eur. Financ. Manage. , vol.7 , Issue.2 , pp. 183-211
    • Jensen, B.A.1    Sorensen, C.2
  • 99
    • 0000125532 scopus 로고
    • Prospect theory: an analysis of decision under risk
    • Kahneman D., and Tversky A. Prospect theory: an analysis of decision under risk. Econometrica 47 (1979) 263-291
    • (1979) Econometrica , vol.47 , pp. 263-291
    • Kahneman, D.1    Tversky, A.2
  • 100
    • 31744450082 scopus 로고
    • Advances in prospect theory: cumulative representation of uncertainty
    • Kahneman D., and Tversky A. Advances in prospect theory: cumulative representation of uncertainty. J. Risk Uncertainty 5 (1992) 297-323
    • (1992) J. Risk Uncertainty , vol.5 , pp. 297-323
    • Kahneman, D.1    Tversky, A.2
  • 101
    • 0346332487 scopus 로고    scopus 로고
    • Optimal consumption from investment and random endowment in incomplete semimartingale markets
    • Karatzas I., and Žitković G. Optimal consumption from investment and random endowment in incomplete semimartingale markets. Ann. Probab. 31 4 (2003) 1821-1858
    • (2003) Ann. Probab. , vol.31 , Issue.4 , pp. 1821-1858
    • Karatzas, I.1    Žitković, G.2
  • 104
    • 23244437439 scopus 로고    scopus 로고
    • Efficient hedging when asset prices follow a geometric Poisson process with unknown intensities
    • Kirch M., and Runggaldier W. Efficient hedging when asset prices follow a geometric Poisson process with unknown intensities. SIAM J. Control Optim. 43 4 (2005) 1174-1195
    • (2005) SIAM J. Control Optim. , vol.43 , Issue.4 , pp. 1174-1195
    • Kirch, M.1    Runggaldier, W.2
  • 105
    • 34548547037 scopus 로고    scopus 로고
    • Dynamic indifference valuation via convex risk measures
    • To appear in
    • Klöppel, S., Schweizer, M. (2007). Dynamic indifference valuation via convex risk measures. To appear in Mathematical Finance.
    • (2007) Mathematical Finance
    • Klöppel, S.1    Schweizer, M.2
  • 107
    • 24344465264 scopus 로고    scopus 로고
    • Worst-case scenario portfolio optimization: a new stochastic control approach
    • Korn R., and Menkens O. Worst-case scenario portfolio optimization: a new stochastic control approach. Math. Methods Oper. Res. 62 1 (2005) 123-140
    • (2005) Math. Methods Oper. Res. , vol.62 , Issue.1 , pp. 123-140
    • Korn, R.1    Menkens, O.2
  • 109
    • 13844260321 scopus 로고    scopus 로고
    • Optimal portfolios under the threat of a crash
    • Korn R., and Wilmott P. Optimal portfolios under the threat of a crash. Int. J. Theor. Appl. Financ. 5 2 (2002) 171-187
    • (2002) Int. J. Theor. Appl. Financ. , vol.5 , Issue.2 , pp. 171-187
    • Korn, R.1    Wilmott, P.2
  • 110
    • 24144451817 scopus 로고    scopus 로고
    • Robust representation of convex risk measures by probability measures
    • Krätschmer V. Robust representation of convex risk measures by probability measures. Financ. Stoch. 9 (2005) 597-608
    • (2005) Financ. Stoch. , vol.9 , pp. 597-608
    • Krätschmer, V.1
  • 111
    • 0033249382 scopus 로고    scopus 로고
    • The asymptotic elasticity of utility functions and optimal investment in incomplete markets
    • Kramkov D., and Schachermayer W. The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Ann. Appl. Probab. 9 3 (1999) 904-950
    • (1999) Ann. Appl. Probab. , vol.9 , Issue.3 , pp. 904-950
    • Kramkov, D.1    Schachermayer, W.2
  • 112
    • 0346913242 scopus 로고    scopus 로고
    • Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
    • Kramkov D., and Schachermayer W. Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Ann. Appl. Probab. 13 4 (2003)
    • (2003) Ann. Appl. Probab. , vol.13 , Issue.4
    • Kramkov, D.1    Schachermayer, W.2
  • 114
    • 0034384390 scopus 로고    scopus 로고
    • On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
    • Krylov N.V. On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients. Probab. Theory Rel. 117 (2000) 1-16
    • (2000) Probab. Theory Rel. , vol.117 , pp. 1-16
    • Krylov, N.V.1
  • 117
    • 0001862354 scopus 로고    scopus 로고
    • On law invariant coherent risk measures
    • Kusuoka S. On law invariant coherent risk measures. Adv. Math. Econ. 3 (2001) 83-95
    • (2001) Adv. Math. Econ. , vol.3 , pp. 83-95
    • Kusuoka, S.1
  • 118
    • 33644971258 scopus 로고    scopus 로고
    • Portfolio optimization with downside risk constraints
    • Lakner P., and Nygren L.M. Portfolio optimization with downside risk constraints. Math. Financ. 16 2 (2006) 283-299
    • (2006) Math. Financ. , vol.16 , Issue.2 , pp. 283-299
    • Lakner, P.1    Nygren, L.M.2
  • 119
    • 0038638954 scopus 로고    scopus 로고
    • A generalized stochastic differential utility
    • Lazrak A., and Quenez M.-C. A generalized stochastic differential utility. Math. Oper. Res. 28 1 (2003) 154-180
    • (2003) Math. Oper. Res. , vol.28 , Issue.1 , pp. 154-180
    • Lazrak, A.1    Quenez, M.-C.2
  • 120
    • 33745747913 scopus 로고    scopus 로고
    • Equilibrium impact of value-at-risk regulation
    • Leippold M., Trojani F., and Vanini P. Equilibrium impact of value-at-risk regulation. J. Econ. Dyn. Control 30 (2006) 1277-1313
    • (2006) J. Econ. Dyn. Control , vol.30 , pp. 1277-1313
    • Leippold, M.1    Trojani, F.2    Vanini, P.3
  • 121
    • 0009094425 scopus 로고
    • The necessity of strongly subadditive capacities for Neyman-Pearson minimax tests
    • Lembcke J. The necessity of strongly subadditive capacities for Neyman-Pearson minimax tests. Monatsh. Math. 105 (1988) 113-126
    • (1988) Monatsh. Math. , vol.105 , pp. 113-126
    • Lembcke, J.1
  • 122
    • 0000150312 scopus 로고
    • Asset pricing in an exchange economy
    • Lucas R.E. Asset pricing in an exchange economy. Econometrica 46 6 (1978) 1429-1445
    • (1978) Econometrica , vol.46 , Issue.6 , pp. 1429-1445
    • Lucas, R.E.1
  • 124
    • 33750564062 scopus 로고    scopus 로고
    • Ambiguity aversion, robustness, and the variational representation of preferences
    • Maccheroni F., Rustichini A., and Marinacci M. Ambiguity aversion, robustness, and the variational representation of preferences. Econometrica 74 (2006) 1447-1498
    • (2006) Econometrica , vol.74 , pp. 1447-1498
    • Maccheroni, F.1    Rustichini, A.2    Marinacci, M.3
  • 126
    • 33748651094 scopus 로고    scopus 로고
    • Optimal Portfolio in a Multiple-Priors Model
    • Birkhäuser In: Progress in Probability
    • Quenez M. Optimal Portfolio in a Multiple-Priors Model. Seminar on stochastic analysis, random fields and applications IV volume 58 (2004), Birkhäuser 291-321 In: Progress in Probability
    • (2004) Seminar on stochastic analysis, random fields and applications IV , vol.58 , pp. 291-321
    • Quenez, M.1
  • 127
    • 3242809849 scopus 로고    scopus 로고
    • Dynamic coherent risk measures
    • Riedel F. Dynamic coherent risk measures. Stoch. Proc. Appl. 112 2 (2004) 185-200
    • (2004) Stoch. Proc. Appl. , vol.112 , Issue.2 , pp. 185-200
    • Riedel, F.1
  • 129
    • 70350328361 scopus 로고    scopus 로고
    • Adaptive and robust control procedures for risk minimization under uncertainty
    • Menaldi J.L., Rofman E., and Sulem A. (Eds), IOS Press Volume in Honour of Prof. Alain Bensoussan's 60th Birthday
    • Runggaldier W. Adaptive and robust control procedures for risk minimization under uncertainty. In: Menaldi J.L., Rofman E., and Sulem A. (Eds). Optimal control and Partial Differential Equations (2001), IOS Press 549-557 Volume in Honour of Prof. Alain Bensoussan's 60th Birthday
    • (2001) Optimal control and Partial Differential Equations , pp. 549-557
    • Runggaldier, W.1
  • 131
  • 132
    • 33748433264 scopus 로고    scopus 로고
    • Optimization of convex risk functions
    • Ruszczyński A., and Shapiro A. Optimization of convex risk functions. Math. Oper. Res. 31 3 (2006) 433-452
    • (2006) Math. Oper. Res. , vol.31 , Issue.3 , pp. 433-452
    • Ruszczyński, A.1    Shapiro, A.2
  • 134
    • 25644448592 scopus 로고    scopus 로고
    • On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals
    • Schied A. On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals. Ann. Appl. Probab. 14 (2004) 1398-1423
    • (2004) Ann. Appl. Probab. , vol.14 , pp. 1398-1423
    • Schied, A.1
  • 135
    • 31144452786 scopus 로고    scopus 로고
    • Optimal investments for robust utility functionals in complete market models
    • Schied A. Optimal investments for robust utility functionals in complete market models. Math. Oper. Res. 30 3 (2005) 750-764
    • (2005) Math. Oper. Res. , vol.30 , Issue.3 , pp. 750-764
    • Schied, A.1
  • 136
    • 33748640961 scopus 로고    scopus 로고
    • Risk measures and robust optimization problems
    • Schied A. Risk measures and robust optimization problems. Stoch. Models 22 (2006) 753-831
    • (2006) Stoch. Models , vol.22 , pp. 753-831
    • Schied, A.1
  • 137
    • 33845939639 scopus 로고    scopus 로고
    • Optimal investments for risk-and ambiguity-averse preferences: a duality approach
    • Schied A. Optimal investments for risk-and ambiguity-averse preferences: a duality approach. Financ. Stoch. 11 1 (2007) 107-129
    • (2007) Financ. Stoch. , vol.11 , Issue.1 , pp. 107-129
    • Schied, A.1
  • 138
    • 70350314203 scopus 로고    scopus 로고
    • Robust optimal control for a consumption-investment problem
    • To appear in
    • Schied, A. (2007b). Robust optimal control for a consumption-investment problem. To appear in Mathematical Methods of Operations Research.
    • (2007) Mathematical Methods of Operations Research
    • Schied, A.1
  • 139
    • 38949187486 scopus 로고    scopus 로고
    • Robustness of Delta hedging for path-dependent options in local volatility models
    • To appear in
    • Schied, A., Stadje, M. (2007). Robustness of Delta hedging for path-dependent options in local volatility models. To appear in Journal of Applied Probability 44, no. 4.
    • (2007) Journal of Applied Probability , vol.44 , Issue.4
    • Schied, A.1    Stadje, M.2
  • 140
    • 33748650154 scopus 로고    scopus 로고
    • Duality theory for optimal investments under model uncertainty
    • Schied A., and Wu C.-T. Duality theory for optimal investments under model uncertainty. Stat. Decis. 23 3 (2005) 199-217
    • (2005) Stat. Decis. , vol.23 , Issue.3 , pp. 199-217
    • Schied, A.1    Wu, C.-T.2
  • 141
    • 0001333688 scopus 로고
    • Subjective probability and expected utility without additivity
    • Schmeidler D. Subjective probability and expected utility without additivity. Econometrica 57 3 (1989) 571-587
    • (1989) Econometrica , vol.57 , Issue.3 , pp. 571-587
    • Schmeidler, D.1
  • 142
    • 7444239181 scopus 로고    scopus 로고
    • Dynamic minimization of worst conditional expectation of shortfall
    • Sekine J. Dynamic minimization of worst conditional expectation of shortfall. Math. Financ. 14 (2004) 605-618
    • (2004) Math. Financ. , vol.14 , pp. 605-618
    • Sekine, J.1
  • 143
    • 30244543364 scopus 로고    scopus 로고
    • Worst case model risk management
    • Talay D., and Zheng Z. Worst case model risk management. Financ. Stoch. 6 (2002) 517-537
    • (2002) Financ. Stoch. , vol.6 , pp. 517-537
    • Talay, D.1    Zheng, Z.2
  • 145
    • 33644988884 scopus 로고    scopus 로고
    • Portfolio insurance and volatility regime switching
    • Vanden J.M. Portfolio insurance and volatility regime switching. Math. Financ. 16 2 (2006) 387-417
    • (2006) Math. Financ. , vol.16 , Issue.2 , pp. 387-417
    • Vanden, J.M.1
  • 147
    • 33644989881 scopus 로고    scopus 로고
    • Distribution-invariant risk measures, information, and dynamic consistency
    • Weber S. Distribution-invariant risk measures, information, and dynamic consistency. Math. Financ. 16 (2006) 419-442
    • (2006) Math. Financ. , vol.16 , pp. 419-442
    • Weber, S.1
  • 148
    • 70350278661 scopus 로고    scopus 로고
    • Robust optimization of consumption with random endowment
    • To appear in
    • Wittmüss, W. (2006). Robust optimization of consumption with random endowment. To appear in Stochastics.
    • (2006) Stochastics
    • Wittmüss, W.1
  • 149
    • 0002569928 scopus 로고
    • The dual theory of choice under risk
    • Yaari M. The dual theory of choice under risk. Econometrica 55 (1987) 95-116
    • (1987) Econometrica , vol.55 , pp. 95-116
    • Yaari, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.