<div class="csl-bib-body">
<div class="csl-entry">Källblad, S. (2017). Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals. <i>Finance and Stochastics</i>, <i>21</i>(2), 397–425. https://doi.org/10.1007/s00780-016-0318-y</div>
</div>
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dc.identifier.issn
0949-2984
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/52
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dc.description.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.
en
dc.language
English
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dc.language.iso
en
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dc.publisher
SPRINGER NATURE
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dc.relation.ispartof
Finance and Stochastics
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dc.rights.uri
http://creativecommons.org/licenses/by/4.0/
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dc.subject
Model uncertainty
en
dc.subject
Ambiguity aversion
en
dc.subject
Quasiconvex risk measures
en
dc.subject
Optimal investment
en
dc.subject
Robust portfolio selection
en
dc.subject
Duality theory
en
dc.title
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
en
dc.type
Article
en
dc.type
Artikel
de
dc.rights.license
Creative Commons Namensnennung 4.0 International
de
dc.rights.license
Creative Commons Attribution 4.0 International
en
dc.description.startpage
397
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dc.description.endpage
425
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dc.rights.holder
The Author(s) 2017
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dc.type.category
Original Research Article
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tuw.container.volume
21
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tuw.container.issue
2
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tuw.journal.peerreviewed
true
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tuw.peerreviewed
true
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tuw.version
vor
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dcterms.isPartOf.title
Finance and Stochastics
-
tuw.publication.orgunit
E105 - Institut für Stochastik und Wirtschaftsmathematik
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tuw.publisher.doi
10.1007/s00780-016-0318-y
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dc.identifier.eissn
1432-1122
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dc.identifier.libraryid
AC15187475
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dc.description.numberOfPages
29
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dc.identifier.urn
urn:nbn:at:at-ubtuw:3-4021
-
dc.rights.identifier
CC BY 4.0
de
dc.rights.identifier
CC BY 4.0
en
item.languageiso639-1
en
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Publications
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Publications
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http://purl.org/coar/resource_type/c_18cf
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http://purl.org/coar/resource_type/c_18cf
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with Fulltext
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Open Access
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open
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Article
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Artikel
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crisitem.author.dept
E105 - Institut für Stochastik und Wirtschaftsmathematik
