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Optimal Contract for the Principal-Agent Under Knightian Uncertainty
Under the Knightian uncertainty, this paper constructs the optimal principal (he)-agent (she) contract model based on the principal’s expected profit...
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Arbitrage-free modeling under Knightian uncertainty
We study the Fundamental Theorem of Asset Pricing for a general financial market under Knightian Uncertainty. We adopt a functional analytic approach...
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Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
We consider a Markov decision process subject to model uncertainty in a Bayesian framework, where we assume that the state process is observed but...
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Optimal Multiple Stop** Problems Under g-expectation
In this paper, we study the optimal multiple stop** problem under Knightian uncertainty both under discrete-time case and continuous-time case. The...
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Robust utility maximizing strategies under model uncertainty and their convergence
In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black–Scholes type financial...
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Nonconcave robust optimization with discrete strategies under Knightian uncertainty
We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies in the multi-period-case are restricted...
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Lifetime Ruin Under High-Water Mark Fees and Drift Uncertainty
This paper aims to study lifetime ruin minimization problem by considering investment in two hedge funds with high-watermark fees and drift...
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A càdlàg rough path foundation for robust finance
Using rough path theory, we provide a pathwise foundation for stochastic Itô integration which covers most commonly applied trading strategies and...
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Uncertainty and filtering of hidden Markov models in discrete time
We consider the problem of filtering an unseen Markov chain from noisy observations, in the presence of uncertainty regarding the parameters of the...
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Robust utility maximization under model uncertainty via a penalization approach
This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of...
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Optimal Pension Fund Management Under Risk and Uncertainty: The Case Study of Poland
During the last decade, and especially after the financial crisis, the problem of providing supplementary pensions to the retirees has attracted a...
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Agent’s Optimal Compensation Under Inflation Risk by Using Dynamic Contract Model
This paper studies the problem of principal-agent with moral hazard in continuous time. The firm’s cash flow is described by geometric Brownian...
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Robust state-dependent mean–variance portfolio selection: a closed-loop approach
This paper studies a class of robust mean–variance portfolio selection problems with state-dependent risk aversion. Model uncertainty, in the sense...
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Affine processes under parameter uncertainty
We develop a one-dimensional notion of affine processes under parameter uncertainty, which we call nonlinear affine processes . This is done as...
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RETRACTED ARTICLE: International market risk, monetary policy stance, and corporate financing: China’s economic recovery in the post-pandemic era
In the post-pandemic era, the epidemic in China has been effectively controlled and the economy has entered the recovery stage. However, the...
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A robust consumption model when the intensity of technological progress is ambiguous
In this paper, we examine a consumption policy for economic growth when predictions of labor-augmenting technological progress are ambiguous. We...
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Robust classical-impulse stochastic control problems in an infinite horizon
This paper establishes a general analytical framework for classical and impulse stochastic control problems in the presence of model uncertainty. We...
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Non-implementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty
In diffusion models, a few suitably chosen financial securities allow to complete the market. As a consequence, the efficient allocations of static...
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Optimal Consumption, Leisure and Job Choice under Inflationary Environment
The optimal job choice, consumption and portfolio decision-making of economic agents under inflationary environment for a continuous infinite time...
