Robust utility maximization in a stochastic factor model (Q3417653)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust utility maximization in a stochastic factor model |
scientific article |
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Robust utility maximization in a stochastic factor model (English)
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30 January 2007
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optimal investment
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model uncertainty
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incomplete markets
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stochastic volatility
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coherent risk measures
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optimal control
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convex duality
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