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Optimal investments for risk- and ambiguity-averse preferences: a duality approach

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  • Alexander Schied

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    File URL: http://hdl.handle.net/10.1007/s00780-006-0024-2
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 11 (2007)
    Issue (Month): 1 (January)
    Pages: 107-129

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    Handle: RePEc:spr:finsto:v:11:y:2007:i:1:p:107-129

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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    Keywords: Model uncertainty; Ambiguity; Convex risk measures; Optimal investments; Duality theory; 91B28; 90C46; 60G44; G11; D81;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Daniel Hernandez–Hernandez & Alexander Schied, 2005. "Robust Utility Maximization in a Stochastic Factor Model," SFB 649 Discussion Papers SFB649DP2006-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Aug 2006.
    2. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
    3. Volker Krätschmer, 2005. "Robust representation of convex risk measures by probability measures," Finance and Stochastics, Springer, vol. 9(4), pages 597-608, October.
    4. David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
    5. Denis Talay & Ziyu Zheng, 2002. "Worst case model risk management," Finance and Stochastics, Springer, vol. 6(4), pages 517-537.
    6. Touzi, Nizar & Schachermayer, Walter & Jouini, Elyès, 2006. "Law Invariant Risk Measures Have the Fatou Property," Open Access publications from Université Paris-Dauphine urn:hdl:123456789/342, Université Paris-Dauphine.
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    Cited by:
    1. Alejandro Balbás & Beatriz Balbás & Antonio Heras, 2010. "Stability of the optimal reinsurance with respect to the risk measure," Business Economics Working Papers wb100201, Universidad Carlos III, Departamento de Economía de la Empresa.
    2. Monika Bier & Daniel Engelage, 2010. "Merging of Opinions under Uncertainty," Working Papers 433, Bielefeld University, Center for Mathematical Economics.
    3. Alejandro Balbás & Raquel Balbás, 2009. "Compatibility between pricing rules and risk measures: The CCVaR," Business Economics Working Papers wb090201, Universidad Carlos III, Departamento de Economía de la Empresa.
    4. Keita Owari, 2010. "Robust Exponential Hedging And Indifference Valuation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(07), pages 1075-1101.
    5. Daniel, Engelage, 2011. "Optimal stopping with dynamic variational preferences," Journal of Economic Theory, Elsevier, vol. 146(5), pages 2042-2074, September.
    6. Monika Bier & Daniel Engelage, 2010. "Merging of Opinions under Uncertainty," Bonn Econ Discussion Papers bgse11_2010, University of Bonn, Germany.
    7. Alexander Schied, 2007. "Robust Optimal Control for a Consumption-investment Problem," SFB 649 Discussion Papers SFB649DP2007-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    8. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1166-1174, June.
    9. Kardaras, Constantinos & Robertson, Scott, 2012. "Robust maximization of asymptotic growth," Open Access publications from London School of Economics and Political Science http://eprints.lse.ac.uk/, London School of Economics and Political Science.
    10. Daniel Fernholz & Ioannis Karatzas, 2012. "Optimal arbitrage under model uncertainty," Papers 1202.2999, arXiv.org.
    11. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2011. "Stable solutions for optimal reinsurance problems involving risk measures," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/13079, Universidad Carlos III de Madrid.
    12. Balbás, Alejandro & Balbás, Raquel & Garrido, José, 2010. "Extending pricing rules with general risk functions," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/12956, Universidad Carlos III de Madrid.
    13. Keita Owari, 2011. "On Admissible Strategies in Robust Utility Maximization," Papers 1109.5512, arXiv.org, revised Mar 2012.
    14. Alejandro Balbas, 2008. "Capital requirements: Are they the best solution?," Business Economics Working Papers wb087114, Universidad Carlos III, Departamento de Economía de la Empresa.
    15. Patrick Cheridito & Tianhui Li, 2009. "Risk Measures On Orlicz Hearts," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 189-214.
    16. Keita Owari, 2011. "ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION (Forthcoming in "Mathematics and Financial Economics")," CARF F-Series CARF-F-257, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    17. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2011. "Stable solutions for optimal reinsurance problems involving risk measures," European Journal of Operational Research, Elsevier, vol. 214(3), pages 796-804, November.
    18. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2009. "Optimal reinsurance with general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 374-384, June.
    19. Xiaoxian Ma & Qingzhen Zhao & Jilin Qu, 2008. "Robust portfolio optimization with a generalized expected utility model under ambiguity," Annals of Finance, Springer, vol. 4(4), pages 431-444, October.
    20. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/12945, Universidad Carlos III de Madrid.

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