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model uncertainty
Items for "model uncertainty"
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 WissenschaftsverlagRobust 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 WissenschaftsverlagInvestigation on the Improvement of Prediction by Bootstrap Model Averaging
Objectives: We illustrate a recently proposed two-step bootstrap model averaging (bootstrap MA) approach to cope with model selection uncertainty...
Keywords: model uncertainty, bootstrap model averaging,variable selection, prediction
01/2006 | Methods of Information in Medicine, Schattauer