Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals (Q522056): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Created claim: Wikidata QID (P12): Q58105353, #quickstatements; #temporary_batch_1707149277123 |
||
| Property / Wikidata QID | |||
| Property / Wikidata QID: Q58105353 / rank | |||
Normal rank | |||
Revision as of 17:26, 5 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals |
scientific article |
Statements
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals (English)
0 references
13 April 2017
0 references
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.
0 references
model uncertainty
0 references
ambiguity
0 references
portfolio selection
0 references
duality theory
0 references
