Robust Preferences and Robust Portfolio Choice

DOI10.1016/S1570-8659(08)00002-1zbMath1180.91274OpenAlexW1916820605MaRDI QIDQ3631184

Stefan Weber, Alexander Schied, Hans Föllmer

Publication date: 5 June 2009

Published in: Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s1570-8659(08)00002-1

zbMATH Keywords

incomplete market stochastic control equilibrium complete market BSDE capacity theory utility functional portfolio risk measure

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Utility theory (91B16) Financial applications of other theories (91G80) Portfolio theory (91G10)

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