Obój, Jan - Distributionally robust portfolio maximization and marginal uti ...

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Received: 4 May 2021   Accepted: 2 July 2021
DOI: 10.1111/mafi.12337

ORIGINAL ARTICLE


Distributionally robust portfolio maximization
and marginal utility pricing in one period
financial markets
Jan Obój1           Johannes Wiesel2
1Mathematical Institute and St John’s
College, University of Oxford, Oxford, UK       Abstract
2Department of Statistics, Columbia          We consider the optimal investment and marginal utility
University, New York, New York, USA          pricing problem of a ris ...

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关键词：distribution maximization Portfolio Marginal Portfoli