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Optimal Investments for Risk- and Ambiguity-Averse Preferences: A Duality Approach Author info | Abstract | Publisher info | Download info | Related research | Statistics Alexander Schied
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Ambiguity, also called Knightian or model uncertainty, is a key feature in financial modeling. A recent paper by Maccheroni et al. (2004) characterizes investor preferences under aversion against both risk and ambiguity. Their result shows that these preferences can be numerically represented in terms of convex risk measures. In this paper we study the corresponding problem of optimal investment over a given time horizon, using a duality approach and building upon the results by Kramkov and Schachermayer (1999, 2001).
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Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number
SFB649DP2005-051.
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Length: 27 pages
Date of creation: Sep 2005Date of revision:
Aug 2006Handle: RePEc:hum:wpaper:sfb649dp2005-051Contact details of provider: Postal: Spandauer Str. 1,10178 Berlin Phone: +49-30-2093-5708 Fax: +49-30-2093-5617 Email: Web page: http://sfb649.wiwi.hu-berlin.de More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Janine Tellinger).
Keywords: Model uncertainty ; ambiguity ; convex risk measures ; optimal investments ; duality theory ; Other versions of this item:
Find related papers by JEL classification: G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
This paper has been announced in the following NEP Reports :
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references Cited by : (explanations , 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.)
Daniel Hernandez–Hernandez & Alexander Schied, 2005.
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SFB 649 Discussion Papers
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Anja Schöttner, 2005.
"Relational Contracts and Job Design ,"
SFB 649 Discussion Papers
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Daniel Hernandez–Hernandez & Alexander Schied, 2006.
"A Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties ,"
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Alejandro Balbás & Raquel Balbás, 2009.
"Compatibility between pricing rules and risk measures: The CCVaR ,"
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Alexander Schied, 2007.
"Robust Optimal Control for a Consumption-investment Problem ,"
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Alejandro Balbas, 2008.
"Capital requirements: Are they the best solution? ,"
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Yasemin Boztug & Lutz Hildebrandt, 2005.
"An empirical test of theories of price valuation using a semiparametric approach, reference prices, and accounting for heterogeneity ,"
SFB 649 Discussion Papers
SFB649DP2005-057, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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Christian Weiner, 2005.
"The Impact of Industry Classification Schemes on Financial Research ,"
SFB 649 Discussion Papers
SFB649DP2005-062, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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Wiebke Wittmüß, 2006.
"Robust Optimization of Consumption with Random Endowment ,"
SFB 649 Discussion Papers
SFB649DP2006-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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Xiaoxian Ma & Qingzhen Zhao & Jilin Qu, 2008.
"Robust portfolio optimization with a generalized expected utility model under ambiguity ,"
Annals of Finance ,
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Wolfgang Härdle & Sigbert Klinke & Uwe Ziegenhagen, 2005.
"Integrable e-lements for Statistics Education ,"
SFB 649 Discussion Papers
SFB649DP2005-058, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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Imen Bentahar & Bruno Bouchard, 2005.
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SFB 649 Discussion Papers
SFB649DP2005-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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