Robust utility maximization under model uncertainty via a penalization approach
Crossref DOI link: https://doi.org/10.1007/s11579-021-00301-5
Published Online: 2021-08-02
Published Print: 2022-01
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Guo, Ivan
Langrené, Nicolas
Loeper, Grégoire
Ning, Wei https://orcid.org/0000-0002-9056-7603
Text and Data Mining valid from 2021-08-02
Version of Record valid from 2021-08-02
Article History
Received: 30 November 2020
Accepted: 10 June 2021
First Online: 2 August 2021
Declarations
:
: Not applicable
: Stock price data used in Section 5.2 are available on .