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ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES
Ariel Neufeld
, Marcel Nutz
*
*
Corresponding author for this work
Swiss Federal Institute of Technology Zurich
Columbia University
Research output
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Article
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peer-review
41
Citations (Scopus)
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Keyphrases
Robust Portfolio Optimization
100%
Robust Utility Maximization
100%
Logarithmic Utility
100%
Saddle Point Analysis
100%
Drift Characteristics
100%
Worst-case Model
100%
Lvy Processes
100%
Price Process
100%
Jump Characteristics
100%
Volatility Characteristics
100%
Power Utility
100%
Portfolio Optimization
100%
Mathematics
Price Process
100%
Saddle Point
100%
Lvy Process
100%
Utility Maximization
100%
Computer Science
Model Uncertainty
100%
Utility Maximization
100%
Economics, Econometrics and Finance
Investment Strategies
100%
Utility Maximization
100%