Robust Portfolio Choice and Indifference Valuation (Q5247614)
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scientific article; zbMATH DE number 6430556
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust Portfolio Choice and Indifference Valuation |
scientific article; zbMATH DE number 6430556 |
Statements
Robust Portfolio Choice and Indifference Valuation (English)
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24 April 2015
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robust preferences
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ambiguity aversion
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recursiveness and time-consistency
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convex risk measures
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portfolio choice
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incomplete markets
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jumps
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indifference valuation
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BSDEs
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exponential and power utility
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