Optimal investments for risk- and ambiguity-averse preferences: a duality approach
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Publication:2463705
DOI10.1007/S00780-006-0024-2zbMATH Open1143.91021OpenAlexW2051444274MaRDI QIDQ2463705FDOQ2463705
Authors: Alexander Schied 
Publication date: 16 December 2007
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-006-0024-2
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Cited In (61)
- Optimal investment in ambiguous financial markets with learning
- Equilibrium investment with random risk aversion
- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
- Characterization of the Minimal Penalty of a Convex Risk Measure with Applications to Robust Utility Maximization for Lévy Models
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- Affine models with path-dependence under parameter uncertainty and their application in finance
- Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
- Optimal reinsurance under general law-invariant risk measures
- Investment behavior under ambiguity: the case of pessimistic decision makers
- Good deal hedging and valuation under combined uncertainty about drift and volatility
- Stable solutions for optimal reinsurance problems involving risk measures
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- Robust utility maximizing strategies under model uncertainty and their convergence
- A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
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- Optimal arbitrage under model uncertainty
- Duality theory under model uncertainty for non-concave utility functions
- Robust utility maximization in a multivariate financial market with stochastic drift
- Robust optimal control for a consumption-investment problem
- Duality in a Problem of Static Partial Hedging under Convex Constraints
- Multivariate shortfall risk statistics with scenario analysis
- Dynamically consistent investment under model uncertainty: the robust forward criteria
- UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES
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- Stochastic intertemporal duality: an application to investment under uncertainty
- Utility maximization under a shortfall risk constraint
- Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
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