Robust utility maximization with limited downside risk in incomplete markets

Stochastic Processes and their Applications

Volumn 117, Issue 11, 2007, Pages 1663-1688

  Gundel, Anne ^a   Weber, Stefan ^b  

^a HUMBOLDT UNIVERSITY   (Germany)

^b School of Operations Research and Industrial Engineering   (United States)

Author keywords

Convex risk measures; Optimal portfolio choice; Robust utility maximization; Semimartingales; Utility based shortfall risk

Indexed keywords

OPTIMIZATION; RANDOM PROCESSES; RISK ANALYSIS;

CONVEX RISK MEASURES; ROBUST UTILITY MAXIMIZATION; UTILITY-BASED SHORTFALL RISK;

ROBUSTNESS (CONTROL SYSTEMS);

EID: 34548689116     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2007.03.014     Document Type: Article

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