Robust utility maximization with limited downside risk in incomplete markets (Q2464861): Difference between revisions

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+https://doi.org/10.1016/j.spa.2007.03.014
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+W2040139269
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@@ Property / cites work @@
+Coherent Measures of Risk
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+A general version of the fundamental theorem of asset pricing
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+Optional decomposition and Lagrange multipliers
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+ON THE PENALTY FUNCTION AND ON CONTINUITY PROPERTIES OF RISK MEASURES
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+Maxmin expected utility with non-unique prior
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+Q3562484
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+Utility maximization under a shortfall risk constraint
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+Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+Q5844986
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+DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
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+Publication:2464861