Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals (Q522056): Difference between revisions

This paper belongs to that stream of literature related to non-expected utility models in finance and associated risk-measures. The focus of the work is on optimal investment choice and, building on existing utility maximization theory, its conclusions extend some existence and duality results to the case of quasi-concave utility functionals.

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reviewed by

Gianluca Cassese

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zbMATH Keywords

model uncertainty

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ambiguity

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portfolio selection

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duality theory

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MaRDI profile type

MaRDI publication profile

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cites work

Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\)

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Coherent Measures of Risk

0 references

Robust Utility Maximization without Model Compactness

0 references

Dynamic quasi concave performance measures

0 references

Time consistent dynamic risk processes

0 references

MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

0 references

Q5436596

0 references

Optimal consumption strategies under model uncertainty

0 references

Rational preferences under ambiguity

0 references

Uncertainty averse preferences

0 references

Complete Monotone Quasiconcave Duality

0 references

RISK MEASURES: RATIONALITY AND DIVERSIFICATION

0 references

Ambiguity through confidence functions

0 references

Ambiguity, Risk, and Asset Returns in Continuous Time

0 references

Optimal consumption and portfolio policies when asset prices follow a diffusion process

0 references

Time-consistent mean-variance portfolio selection in discrete and continuous time

0 references

Q5588318

0 references

Q4550909

0 references

Representation of the penalty term of dynamic concave utilities

0 references

A general version of the fundamental theorem of asset pricing

0 references

The fundamental theorem of asset pricing for unbounded stochastic processes

0 references

Optimal Investment under Model Uncertainty in Nondominated Models

0 references

Risk Preferences and Their Robust Representation

0 references

Risk, Ambiguity, and the Savage Axioms

0 references

Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach

0 references

Efficient hedging: cost versus shortfall risk

0 references

Convex risk measures and the dynamics of their penalty functions

0 references

Convex measures of risk and trading constraints

0 references

Stochastic finance. An introduction in discrete time

0 references

Robust Preferences and Robust Portfolio Choice

0 references

Dual Representation of Quasi-convex Conditional Maps

0 references

Complete duality for quasiconvex dynamic risk measures on modules of the L p -type

0 references

Maxmin expected utility with non-unique prior

0 references

Robust utility maximization in a stochastic factor model

0 references

A control approach to robust utility maximization with logarithmic utility and time-consistent penalties

0 references

Prospect Theory: An Analysis of Decision under Risk

0 references

Dynamically consistent investment under model uncertainty: the robust forward criteria

0 references

The numéraire portfolio in semimartingale financial models

0 references

Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

0 references

Martingale and Duality Methods for Utility Maximization in an Incomplete Market

0 references

A Smooth Model of Decision Making under Ambiguity

0 references

DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES

0 references

The asymptotic elasticity of utility functions and optimal investment in incomplete markets

0 references

Necessary and sufficient conditions in the problem of optimal investment in incomplete markets

0 references

On a non-compact generalization of Fan's minimax theorem

0 references

Robust Portfolio Choice and Indifference Valuation

0 references

Stability of utility-maximization in incomplete markets

0 references

A Generalized Stochastic Differential Utility

0 references

Ambiguity Aversion, Robustness, and the Variational Representation of Preferences

0 references

Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures

0 references

Portfolio Optimization with Quasiconvex Risk Measures

0 references

Optimum consumption and portfolio rules in a continuous-time model

0 references

Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption

0 references

Q3562485

0 references

UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME

0 references

Robust exponential hedging in a Brownian setting

0 references

Robust optimization of consumption with random endowment

0 references

A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios

0 references

Q3154984

0 references

Convex Analysis

0 references

Q5826088

0 references

Optimal investments for risk- and ambiguity-averse preferences: a duality approach

0 references

Duality theory for optimal investments under model uncertainty

0 references

Subjective Probability and Expected Utility without Additivity

0 references

On general minimax theorems

0 references

Robust control and recursive utility

0 references

Axiomatic Foundations of Multiplier Preferences

0 references

Q2892811

0 references

Stability of utility maximization in nonequivalent markets

0 references

Identifiers

zbMATH Open document ID

1367.91165

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DOI

10.1007/s00780-016-0318-y

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:522056

@@ Property / arXiv ID @@
+.7419
@@ Property / arXiv ID: 1311.7419 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\)
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Utility Maximization without Model Compactness
+Normal rank
@@ Property / cites work @@
+Dynamic quasi concave performance measures
@@ Property / cites work: Dynamic quasi concave performance measures / rank @@
+Normal rank
@@ Property / cites work @@
+Time consistent dynamic risk processes
@@ Property / cites work: Time consistent dynamic risk processes / rank @@
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+Q5436596
@@ Property / cites work: Q5436596 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal consumption strategies under model uncertainty
+Normal rank
@@ Property / cites work @@
+Rational preferences under ambiguity
@@ Property / cites work: Rational preferences under ambiguity / rank @@
+Normal rank
@@ Property / cites work @@
+Uncertainty averse preferences
@@ Property / cites work: Uncertainty averse preferences / rank @@
+Normal rank
@@ Property / cites work @@
+Complete Monotone Quasiconcave Duality
@@ Property / cites work: Complete Monotone Quasiconcave Duality / rank @@
+Normal rank
@@ Property / cites work @@
+RISK MEASURES: RATIONALITY AND DIVERSIFICATION
@@ Property / cites work: RISK MEASURES: RATIONALITY AND DIVERSIFICATION / rank @@
+Normal rank
@@ Property / cites work @@
+Ambiguity through confidence functions
@@ Property / cites work: Ambiguity through confidence functions / rank @@
+Normal rank
@@ Property / cites work @@
+Ambiguity, Risk, and Asset Returns in Continuous Time
+Normal rank
@@ Property / cites work @@
+Optimal consumption and portfolio policies when asset prices follow a diffusion process
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance portfolio selection in discrete and continuous time
+Normal rank
@@ Property / cites work @@
+Q5588318
@@ Property / cites work: Q5588318 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4550909
@@ Property / cites work: Q4550909 / rank @@
+Normal rank
@@ Property / cites work @@
+Representation of the penalty term of dynamic concave utilities
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+The fundamental theorem of asset pricing for unbounded stochastic processes
+Normal rank
@@ Property / cites work @@
+Optimal Investment under Model Uncertainty in Nondominated Models
+Normal rank
@@ Property / cites work @@
+Risk Preferences and Their Robust Representation
@@ Property / cites work: Risk Preferences and Their Robust Representation / rank @@
+Normal rank
@@ Property / cites work @@
+Risk, Ambiguity, and the Savage Axioms
@@ Property / cites work: Risk, Ambiguity, and the Savage Axioms / rank @@
+Normal rank
@@ Property / cites work @@
+Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach
+Normal rank
@@ Property / cites work @@
+Efficient hedging: cost versus shortfall risk
@@ Property / cites work: Efficient hedging: cost versus shortfall risk / rank @@
+Normal rank
@@ Property / cites work @@
+Convex risk measures and the dynamics of their penalty functions
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
+Normal rank
@@ Property / cites work @@
+Robust Preferences and Robust Portfolio Choice
@@ Property / cites work: Robust Preferences and Robust Portfolio Choice / rank @@
+Normal rank
@@ Property / cites work @@
+Dual Representation of Quasi-convex Conditional Maps
+Normal rank
@@ Property / cites work @@
+Complete duality for quasiconvex dynamic risk measures on modules of the <i>L</i>                   <sup>                      <i>p</i>                   </sup>-type
+Normal rank
@@ Property / cites work @@
+Maxmin expected utility with non-unique prior
@@ Property / cites work: Maxmin expected utility with non-unique prior / rank @@
+Normal rank
@@ Property / cites work @@
+Robust utility maximization in a stochastic factor model
+Normal rank
@@ Property / cites work @@
+A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
+Normal rank
@@ Property / cites work @@
+Prospect Theory: An Analysis of Decision under Risk
+Normal rank
@@ Property / cites work @@
+Dynamically consistent investment under model uncertainty: the robust forward criteria
+Normal rank
@@ Property / cites work @@
+The numéraire portfolio in semimartingale financial models
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
+Normal rank
@@ Property / cites work @@
+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+A Smooth Model of Decision Making under Ambiguity
@@ Property / cites work: A Smooth Model of Decision Making under Ambiguity / rank @@
+Normal rank
@@ Property / cites work @@
+DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+On a non-compact generalization of Fan's minimax theorem
+Normal rank
@@ Property / cites work @@
+Robust Portfolio Choice and Indifference Valuation
+Normal rank
@@ Property / cites work @@
+Stability of utility-maximization in incomplete markets
+Normal rank
@@ Property / cites work @@
+A Generalized Stochastic Differential Utility
@@ Property / cites work: A Generalized Stochastic Differential Utility / rank @@
+Normal rank
@@ Property / cites work @@
+Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
+Normal rank
@@ Property / cites work @@
+Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
+Normal rank
@@ Property / cites work @@
+Portfolio Optimization with Quasiconvex Risk Measures
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
+Normal rank
@@ Property / cites work @@
+Q3562485
@@ Property / cites work: Q3562485 / rank @@
+Normal rank
@@ Property / cites work @@
+UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME
+Normal rank
@@ Property / cites work @@
+Robust exponential hedging in a Brownian setting
@@ Property / cites work: Robust exponential hedging in a Brownian setting / rank @@
+Normal rank
@@ Property / cites work @@
+Robust optimization of consumption with random endowment
+Normal rank
@@ Property / cites work @@
+A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
+Normal rank
@@ Property / cites work @@
+Q3154984
@@ Property / cites work: Q3154984 / rank @@
+Normal rank
@@ Property / cites work @@
+Convex Analysis
@@ Property / cites work: Convex Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Q5826088
@@ Property / cites work: Q5826088 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investments for risk- and ambiguity-averse preferences: a duality approach
+Normal rank
@@ Property / cites work @@
+Duality theory for optimal investments under model uncertainty
+Normal rank
@@ Property / cites work @@
+Subjective Probability and Expected Utility without Additivity
+Normal rank
@@ Property / cites work @@
+On general minimax theorems
@@ Property / cites work: On general minimax theorems / rank @@
+Normal rank
@@ Property / cites work @@
+Robust control and recursive utility
@@ Property / cites work: Robust control and recursive utility / rank @@
+Normal rank
@@ Property / cites work @@
+Axiomatic Foundations of Multiplier Preferences
@@ Property / cites work: Axiomatic Foundations of Multiplier Preferences / rank @@
+Normal rank
@@ Property / cites work @@
+Q2892811
@@ Property / cites work: Q2892811 / rank @@
+Normal rank
@@ Property / cites work @@
+Stability of utility maximization in nonequivalent markets
+Normal rank