Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
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Publication:522056
DOI10.1007/S00780-016-0318-YzbMATH Open1367.91165DBLPjournals/fs/Kallblad17arXiv1311.7419OpenAlexW2135213302WikidataQ58105353 ScholiaQ58105353MaRDI QIDQ522056FDOQ522056
Publication date: 13 April 2017
Published in: Finance and Stochastics (Search for Journal in Brave)
Abstract: Motivated by recent axiomatic developments, we study the risk- and ambiguity-averse investment problem where trading takes place over a fixed finite horizon and terminal payoffs are evaluated according to a criterion defined in terms of a quasiconcave utility functional. We extend to the present setting certain existence and duality results established for the so-called variational preferences by Schied (2007). The results are proven by building on existing results for the classical utility maximization problem.
Full work available at URL: https://arxiv.org/abs/1311.7419
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