Optimal Investments for Robust Utility Functionals in Complete Market Models
This paper introduces a systematic approach to the problem of maximizing the robust utility of the terminal wealth of an admissible strategy in a general complete market model, where the robust utility functional is defined by a set 𝒬 of probability measures. Our main result shows that this problem...
Veröffentlicht in: | Mathematics of Operations Research. - Institute for Operations Research and the Management Sciences. - 30(2005), 3, Seite 750-764 |
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Format: | Online-Aufsatz |
Sprache: | English |
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2005
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Zugriff auf das übergeordnete Werk: | Mathematics of Operations Research |
Schlagworte: | Robust utility functional Utility maximization Knightian uncertainty Robust Savage representation Least favorable measure Uncertain drift Huber-Strassen theory Primary 91B28 Secondary 60G44 Primary: Utility/preference: applications mehr... |
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