Related papers: Semistatic robust utility indifference valuation a…
For a stochastic factor model we maximize the long-term growth rate of robust expected power utility with parameter $\lambda\in(0,1)$. Using duality methods the problem is reformulated as an infinite time horizon, risk-sensitive control…
This paper studies topological duals of Banach function spaces (BFS). We assume a finite measure but our arguments extend to general locally convex function spaces whose topology is generated by seminorms that satisfy the usual BFS axioms.…
We present a unified duality approach to Bayesian persuasion. The optimal dual variable, interpreted as a price function on the state space, is shown to be a supergradient of the concave closure of the objective function at the prior…
We consider a class of nonlinear integro-differential operators and prove existence of two principal (half) eigenvalues in bounded smooth domains with exterior Dirichlet condition. We then establish simplicity of the principal…
This paper expands the notion of robust profit opportunities in financial markets to incorporate distributional uncertainty using Wasserstein distance as the ambiguity measure. Financial markets with risky and risk-free assets are…
We discuss the asymptotic behaviour of risk-based indifference prices of European contingent claims in discrete-time financial markets under volatility uncertainty as the number of intermediate trading periods tends to infinity. The…
A version of indifference valuation of a European call option is proposed that includes statistical regularities of nonstochastic randomness. Classical relations (forward contract value and Black-Scholes formula) are obtained as particular…
The aim of this survey is to present the main important techniques and tools from variational analysis used for first and second order dynamical systems of implicit type for solving monotone inclusions and non-smooth optimization problems.…
In this study, we investigate asset price bubbles in a discrete-time, discrete-state market under model uncertainty and short sales prohibitions. Building on a new fundamental theorem of asset pricing and a superhedging duality in this…
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and…
We consider statistical estimation of superhedging prices using historical stock returns in a frictionless market with d traded assets. We introduce a plugin estimator based on empirical measures and show it is consistent but lacks suitable…
We study the pointwise supremum of convex integral functionals $\mathcal{I}_{f,\gamma}(\xi)= \sup_{Q} \left( \int_\Omega f(\omega,\xi(\omega))Q(d\omega)-\gamma(Q)\right)$ on $L^\infty(\Omega,\mathcal{F},\mathbb{P})$ where…
In a discrete time setting, we study the central problem of giving a fair price to some financial product. For several decades, the no-arbitrage conditions and the martingale measures have played a major role for solving this problem. We…
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…
In this paper we consider the minimization of a novel class of fractional linear growth functionals involving the Riesz fractional gradient. These functionals lack the coercivity properties in the fractional Sobolev spaces needed to apply…
A pricing principle is introduced for non-attainable $q$-exponential bounded contingent claims in an incomplete Brownian motion market setting. The buyer evaluates the contingent claim under the ``distorted Radon-Nikodym derivative'' and…
We study the martingale optimal transport problem with state-dependent trading frictions and develop a geometric and duality framework extending from the one time-step to the multi-marginal setting. Building on the left-monotone structure…
In this paper, we develop a functional differentiability approach for solving statistical optimal allocation problems. We derive Hadamard differentiability of the value functions through analyzing the properties of the sorting operator…
In this paper we study the problem of maximizing expected utility from the terminal wealth with proportional transaction costs and random endowment. In the context of the existence of consistent price systems, we consider the duality…
We consider a deterministic continuous time model of monopolistic firm, which chooses production and pricing strategies of a single good. Firm's goal is to maximize the discounted profit over infinite time horizon. The no-backlogging…