Cover Image

Worst-Case Optimal Investment in Incomplete Markets

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Desmettre, Sascha, Merkel, Sebastian, Mickel, Annalena, Steinicke, Alexander
Format:	Preprint
Published:	2023
Subjects:	Mathematical Finance Probability 49J55, 93E20, 91A15, 91B70
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Market Making with Exogenous Competition
by: Boyce, Robert, et al.
Published: (2024)

On the Singular Control of a Diffusion and Its Running Infimum or Supremum
by: Ferrari, Giorgio, et al.
Published: (2025)

The Price of Information
by: Jaimungal, Sebastian, et al.
Published: (2024)

Stopper vs. singular-controller games with degenerate diffusions
by: Bovo, Andrea, et al.
Published: (2023)

Zero-sum stopper vs. singular-controller games with constrained control directions
by: Bovo, Andrea, et al.
Published: (2023)

Optimal Bubble Riding: A Mean Field Game with Varying Entry Times
by: Tangpi, Ludovic, et al.
Published: (2022)

Time-consistent pension policy with minimum guarantee and sustainability constraint
by: Hillairet, Caroline, et al.
Published: (2022)

Optimal Execution under Liquidity Uncertainty
by: Chevalier, Etienne, et al.
Published: (2025)

Well-posedness of behavioral singular stochastic control problems
by: Sidorenko, Artur
Published: (2025)

A Decomposition Method for LQ Conditional McKean-Vlasov Control Problems with Random Coefficients
by: Hounkpe, Onésime, et al.
Published: (2026)

Nash equilibria for dividend distribution with competition
by: De Angelis, Tiziano, et al.
Published: (2023)

Splitting infinity: a de Finetti game with state-dependent profit rates and singular control for diffusions
by: Chlebicki, Piotr, et al.
Published: (2025)

Stochastic Analysis of Overlapping Generations Models Under Incomplete Markets
by: Chen, Cangxiong, et al.
Published: (2025)

Consumption-Investment Problem in Rank-Based Models
by: Itkin, David
Published: (2025)

Avellaneda-Stoikov and Cartea-Jaimungal as One Framework: A Forced Uniqueness Theorem for Inventory Market Making
by: Feys, Frank M. V.
Published: (2026)

Equilibrium in Functional Stochastic Games with Mean-Field Interaction
by: Jaber, Eduardo Abi, et al.
Published: (2023)

Infinite-Horizon Optimal Control of Jump-Diffusion Models for Pollution-Dependent Disasters
by: Sakhanda, Daria, et al.
Published: (2025)

Mean-field control problems with multi-dimensional singular controls
by: Denkert, Robert, et al.
Published: (2023)

On the saddle point of a zero-sum stopper vs. singular-controller game
by: Bovo, Andrea, et al.
Published: (2024)

Agency Problems and Adversarial Bilevel Optimization under Uncertainty and Cyber Threats
by: Mastrolia, Thibaut, et al.
Published: (2025)

A model of strategic sustainable investment
by: De Angelis, Tiziano, et al.
Published: (2024)

Mean-Variance Stackelberg Games with Asymmetric Information
by: Huang, Yu-Jui, et al.
Published: (2025)

The American put with finite-time maturity and stochastic interest rate
by: Cai, Cheng, et al.
Published: (2021)

A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints
by: Fu, Guanxing, et al.
Published: (2024)

A dynamic competitive equilibrium model of irreversible capacity investment with stochastic demand and heterogeneous producers
by: Kardaras, Constantinos, et al.
Published: (2025)

Habit Formation, Labor Supply, and the Dynamics of Retirement and Annuitization
by: Birungi, Criscent, et al.
Published: (2026)

Emission impossible: Balancing Environmental Concerns and Inflation
by: Aïd, René, et al.
Published: (2025)

Time-Consistent Asset Allocation for Risk Measures in a Lévy Market
by: Fießinger, Felix, et al.
Published: (2023)

Cooperation, Correlation and Competition in Ergodic N-player Games and Mean-field Games of Singular Controls: A Case Study
by: Cannerozzi, Federico, et al.
Published: (2024)

Probabilistic Analysis of Graphon Mean Field Control
by: Cao, Zhongyuan, et al.
Published: (2025)

Cost-efficiency in Incomplete Markets
by: Bernard, Carole, et al.
Published: (2022)

Periodic portfolio selection with quasi-hyperbolic discounting
by: Hamaguchi, Yushi, et al.
Published: (2024)

No arbitrage and the existence of ACLMMs in general diffusion models
by: Criens, David, et al.
Published: (2024)

Finite-time horizon, stopper vs. singular-controller games on the half-line
by: Bovo, Andrea, et al.
Published: (2024)

Criteria for the absence of arbitrage in general diffusion markets
by: Criens, David, et al.
Published: (2023)

Equilibrium Strategies for Singular Dividend Control Problems under the Mean-Variance Criterion
by: Cao, Jingyi, et al.
Published: (2025)

Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective
by: Grigorian, Karen, et al.
Published: (2025)

Value existence for zero-sum ergodic stochastic differential games
by: Li, Juan, et al.
Published: (2021)

Optimal Investment and Consumption in a Stochastic Factor Model
by: Gutekunst, Florian, et al.
Published: (2025)

Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets
by: Lin, Minglian, et al.
Published: (2023)