Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
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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.
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- scientific article; zbMATH DE number 3087284 (Why is no real title available?)
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Cited in
(8)- Decision-making of portfolio investment with double exponential utility function
- Portfolio optimization with entropic value-at-risk
- Dynamically consistent investment under model uncertainty: the robust forward criteria
- Informational efficiency under short sale constraints
- Portfolio optimization with two quasiconvex risk measures
- Recursive utility optimization with concave coefficients
- Risk preferences and loss aversion in portfolio optimization
- Optimal financial investments for non-concave utility functions
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