Ambiguity, also called Knightian or model uncertainty, is a key feature in financial modeling.
A recent paper by Maccheroni et al.(preprint, 2004) characterizes investor preferences …

The problem of robust utility maximization in an incomplete market with volatility uncertainty
is considered, in the sense that the volatility of the market is only assumed to lie between two …

Financial markets offer a variety of financial positions. The net result of such a position at the
end of the trading period is uncertain, and it may thus be viewed as a real-valued function X …

This paper introduces a systematic approach to the problem of maximizing the robust utility
of the terminal wealth of an admissible strategy in a general complete market model, where …

We study a stochastic control problem arising in the context of utility maximization under
model uncertainty. The latter is formulated as a sup-inf problem over strategies π and …

In this paper, we provide a framework in which we can set the problem of maximization of
utility function, taking into account the model uncertainty and encompassing the case of the …

We present and compare two different approaches to conditional risk measures. One
approach draws from convex analysis in vector spaces and presents risk measures as …

These lecture notes give a survey on recent developments in the theory of risk measures.
The first part outlines the general representation theory of risk measures in a static one …

We give an explicit PDE characterization for the solution of a robust utility maximization
problem in an incomplete market model, whose volatility, interest rate process, and long …

We consider the problem of optimal investment with intermediate consumption in the
framework of an incomplete semimartingale model of a financial market. We show that a …