Optimal Investments for Robust Utility Functionals in Complete Market Models

DOI10.1287/moor.1040.0138zbMath1082.91052OpenAlexW2148244260MaRDI QIDQ5704248

Alexander Schied

Publication date: 11 November 2005

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/889ff944c45df4a358733d70b5f2a1294f231d5a

zbMATH Keywords

utility maximizationKnightian uncertaintyHuber-Strassen theoryleast favorable measurerobust Savage representationrobust utility functionaluncertain drift

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Auctions, bargaining, bidding and selling, and other market models (91B26)

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