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Items for "coherent risk measures"

Duality theory for optimal investments under model uncertainty

Robust utility functionals arise as numerical representations of investor preferences, when the investor is uncertain about the underlying probabilistic model and averse against both risk and model uncertainty...

Keywords: portfolio optimization, model uncertainty, Knightian uncertainty, coherent risk measures, convex duality

03/2005 | Statistics & Decisions, Oldenbourg Wissenschaftsverlag
Robust utility maximization in a stochastic factor model

We give an explicit PDE characterization for the solution of a robust utility maximization problem in an incomplete market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor process...

Keywords: optimal investment, model uncertainty, incomplete markets, stochastic volatility, coherent risk measures

01/2006 | Statistics & Decisions, Oldenbourg Wissenschaftsverlag