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You are here: Home :: Keyword index :: par bis pre :: Porphyra suborbiculata - post-analytical procedures portfolio optimization

Items for "portfolio optimization"

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
On distortion functionals

Distorted measures have been used in pricing of insurance contracts for a long time. This paper reviews properties of related acceptability functionals in risk management, called distortion functionals...

Keywords: risk measures, insurance premium, portfolio optimization

01/2006 | Statistics & Decisions, Oldenbourg Wissenschaftsverlag
An ε-Optimal Portfolio with Stochastic Volatility

We consider an extended Merton's problem of optimal consumption and investment in continuous-time with stochastic volatility...

Keywords: stochastic volatility, portfolio optimization, -optimal control, time-discrete approximation

03/2005 | Monte Carlo Methods and Applications, Walter de Gruyter