Robust Preferences and Robust Portfolio Choice

DOI10.1016/S1570-8659(08)00002-1zbMath1180.91274OpenAlexW1916820605MaRDI QIDQ3631184

Stefan Weber, Alexander Schied, Hans Föllmer

Publication date: 5 June 2009

Published in: Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s1570-8659(08)00002-1

zbMATH Keywords

incomplete marketstochastic controlequilibriumcomplete marketBSDEcapacity theoryutility functionalportfolio risk measure

Mathematics Subject Classification ID

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