Robust utility maximization with limited downside risk in incomplete markets
نویسندگان
چکیده
منابع مشابه
Robust Utility Maximization with Limited Downside Risk in Incomplete Markets
In this article we consider the portfolio selection problem of an agent with robust preferences in the sense of Gilboa & Schmeidler (1989) in an incomplete market. Downside risk is constrained by a robust version of utility-based shortfall risk. We derive an explicit representation of the optimal terminal wealth in terms of certain worst case measures which can be characterized as minimizers of...
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متن کاملErratum to: Utility maximization in incomplete markets with random endowment
K. Larsen, M. Soner, and G. Zitkovic kindly pointed out to us an error in our paper [1] which appeared in 2001 in this journal. They also provide an explicit counter-example in [4]. In Theorem 3.1 of [1] it was incorrectly claimed (among several other correct assertions) that the value function u(x) is continuously differentiable. The erroneous argument for this assertion is contained in Remark...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2007
ISSN: 0304-4149
DOI: 10.1016/j.spa.2007.03.014