Optimal investments for risk- and ambiguity-averse preferences: a duality approach
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Publication:2463705
DOI10.1007/s00780-006-0024-2zbMath1143.91021MaRDI QIDQ2463705
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
90C46: Optimality conditions and duality in mathematical programming
60G44: Martingales with continuous parameter
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