Optimal investments for risk- and ambiguity-averse preferences: a duality approach
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Cited in
(61)- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
- Equilibrium investment with random risk aversion
- Optimal investment in ambiguous financial markets with learning
- A robust investment-consumption optimization problem in a switching regime interest rate setting
- Characterization of the Minimal Penalty of a Convex Risk Measure with Applications to Robust Utility Maximization for Lévy Models
- Affine models with path-dependence under parameter uncertainty and their application in finance
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- Dynamically consistent investment under model uncertainty: the robust forward criteria
- Multivariate shortfall risk statistics with scenario analysis
- Robust maximization of asymptotic growth
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Robust optimization of consumption with random endowment
- Trade-off between robust risk measurement and market principles
- Dual characterization of properties of risk measures on Orlicz hearts
- Extending pricing rules with general risk functions
- Update rules for convex risk measures
- Risk management strategies via minimax portfolio optimization
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- Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences
- Robust portfolio optimization with a generalized expected utility model under ambiguity
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