Optimal investments for risk- and ambiguity-averse preferences: A duality approach

Finance and Stochastics

Volumn 11, Issue 1, 2007, Pages 107-129

  Schied, Alexander ^a  

^a TECHNISCHE UNIVERSITÄT BERLIN   (Germany)

Author keywords

Ambiguity; Convex risk measures; Duality theory; Model uncertainty; Optimal investments

Indexed keywords

EID: 33845939639     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-006-0024-2     Document Type: Article

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