Robust utility maximization for complete and incomplete market models

Finance and Stochastics

Volumn 9, Issue 2, 2005, Pages 151-176

  Gundel, Anne ^a  

^a HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Duality; F divergences; Incomplete markets; Model uncertainty; Robust utility functionals; Utility maximization

Indexed keywords

EID: 17444364489     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-004-0148-1     Document Type: Article

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