Robust utility maximization with limited downside risk in incomplete markets (Q2464861)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust utility maximization with limited downside risk in incomplete markets |
scientific article |
Statements
Robust utility maximization with limited downside risk in incomplete markets (English)
0 references
17 December 2007
0 references
robust utility maximization
0 references
optimal portfolio choice
0 references
utility-based shortfall risk
0 references
convex risk measures
0 references
semimartingales
0 references
