Duality theory for optimal investments under model uncertainty

DOI10.1524/stnd.2005.23.3.199zbMath1184.91195OpenAlexW3124350064MaRDI QIDQ5476135

Alexander Schied, Ching-Tang Wu

Publication date: 29 June 2006

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2005.23.3.199

zbMATH Keywords

portfolio optimization, model uncertainty, Knightian uncertainty, coherent risk measures, convex duality

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Utility theory (91B16) Martingales with continuous parameter (60G44) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

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