Optimal investments for risk- and ambiguity-averse preferences: a duality approach

DOI10.1007/s00780-006-0024-2zbMath1143.91021OpenAlexW2051444274MaRDI QIDQ2463705

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

zbMATH Keywords

duality theoryambiguityconvex risk measuresoptimal investmentsModel uncertainty

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Martingales with continuous parameter (60G44)

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