Table of Links Abstract and 1. Introduction Abstract and 1. Introduction 2. Financial Market Model and Worst-Case Optimization Problem 2. Financial Market Model and Worst-Case Optimization Problem 3. Solution to the Post-Crash Problem 3. Solution to the Post-Crash Problem 4. Solution to the Pre-Crash Problem 4. Solution to the Pre-Crash Problem 5. A BSDE Characterization of Indifferences Strategies 5. A BSDE Characterization of Indifferences Strategies 6. The Markovian Case 6. The Markovian Case 7. Numerical Experiments 7. Numerical Experiments Acknowledgments and References Acknowledgments and References Appendix A. Proofs from Section 3 Appendix A. Proofs from Section 3 Appendix B. Proofs of BASDE Results from Section 5 Appendix B. Proofs of BASDE Results from Section 5 Appendix C. Proofs of (CIR) Results from Section 6 Appendix C. 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Protter, Stochastic Integration and Stochastic Differential Equations, Springer, Berlin, 2004. [47] A. Saplaouras, Backward stochastic differential equations with jumps are stable, dissertation, TU Berlin, 2017. [48] A. Schied, Optimal investments for robust utility functionals in complete market models, Mathematics of Operations Research, 30 (2005), pp. 750–764. [49] F. T. Seifried, Optimal investment for worst-case crash scenarios: A martingale approach, Mathematics of Operations Research, 35 (2010), pp. 559–579. [50] D. Talay and Z. Zheng, Worst case model risk management, Finance and Stochastics, 1 (2002), pp. 517–537. [51] T. Zariphopoulou, A solution approach to valuation with unhedgeable risks, Finance and Stochastics, 5 (2001), pp. 61–82. Authors:
(1) Sascha Desmettre;
(2) Sebastian Merkel;
(3) Annalena Mickel;
(4) Alexander Steinicke. Authors: Authors: (1) Sascha Desmettre; (2) Sebastian Merkel; (3) Annalena Mickel; (4) Alexander Steinicke. This paper is available on arxiv under CC BY 4.0 DEED license. This paper is available on arxiv under CC BY 4.0 DEED license. available on arxiv

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