Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals

Källblad, Sigrid

doi:10.1007/s00780-016-0318-y

Record link:

http://hdl.handle.net/20.500.12708/52

Title:

Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals

Citation:

Källblad, S. (2017). Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals. Finance and Stochastics, 21(2), 397–425. https://doi.org/10.1007/s00780-016-0318-y

Publisher DOI:

10.1007/s00780-016-0318-y

CatalogPlus:

AC15187475

Publication Type:

Article - Original Research Article

Language:

English

Authors:

Källblad, Sigrid

Organisational Unit:

E105 - Institut für Stochastik und Wirtschaftsmathematik

Journal:

Finance and Stochastics

ISSN:

0949-2984

Date (published):

2017

Number of Pages:

Publisher:

SPRINGER NATURE

Peer reviewed:

Yes

Keywords:

Model uncertainty; Ambiguity aversion; Quasiconvex risk measures; Optimal investment; Robust portfolio selection; Duality theory

Abstract:

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. 11:107–129, 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.

License:

CC BY 4.0