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Title
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
AuthorKällblad, Sigrid
Published in
Finance and Stochastics, 2017, Vol. 21, Issue 2, page 397-425
PublishedSpringer Nature, 2017
LanguageEnglish
Document typeJournal Article
Keywords (EN)Model uncertainty / Ambiguity aversion / Quasiconvex risk measures / Optimal investment / Robust portfolio selection / Duality theory
ISSN1432-1122
URNurn:nbn:at:at-ubtuw:3-4021 Persistent Identifier (URN)
DOI10.1007/s00780-016-0318-y 
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 The work is publicly available
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Abstract (English)

Motivated by recent axiomatic developments, we study the risk- and ambiguity-averse investment problem where trading takes place in continuous time over a fixed finite horizon and terminal payoffs are evaluated according to criteria defined in terms of quasiconcave utility functionals. We extend to the present setting certain existence and duality results established for so-called variational preferences by Schied (Finance Stoch. 11:107129, 2007). The results are proved by building on existing results for the classical utility maximization problem, combined with a careful analysis of the involved quasiconvex and semicontinuous functions.

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CC-BY-License (4.0)Creative Commons Attribution 4.0 International License