Duality theory for optimal investments under model uncertainty
نویسندگان
چکیده
منابع مشابه
Duality Theory for Optimal Investments under Model Uncertainty
Robust utility functionals arise as numerical representations of investor preferences, when the investor is uncertain about the underlying probabilistic model and averse against both risk and model uncertainty. In this paper, we study the the duality theory for the problem of maximizing the robust utility of the terminal wealth in a general incomplete market model. We also allow for very genera...
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ژورنال
عنوان ژورنال: Statistics & Decisions
سال: 2005
ISSN: 0721-2631
DOI: 10.1524/stnd.2005.23.3.199