Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals (Q522056)
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scientific article
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| English | Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals |
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Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals (English)
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13 April 2017
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This paper belongs to that stream of literature related to non-expected utility models in finance and associated risk-measures. The focus of the work is on optimal investment choice and, building on existing utility maximization theory, its conclusions extend some existence and duality results to the case of quasi-concave utility functionals.
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model uncertainty
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ambiguity
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portfolio selection
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duality theory
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0.8085993528366089
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0.8036889433860779
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0.8027737140655518
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0.7888839840888977
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0.7871740460395813
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