Optimal investments for risk- and ambiguity-averse preferences: a duality approach
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References listed on IDEAS
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More about this item
KeywordsModel uncertainty; Ambiguity; Convex risk measures; Optimal investments; Duality theory; 91B28; 90C46; 60G44; G11; D81;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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