Optimal Investments for Risk- and Ambiguity-Averse Preferences: A Duality Approach
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
- Lars Peter Hansen & Thomas J Sargent, 2014.
"Robust Control and Model Uncertainty,"
World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 5, pages 145-154,
World Scientific Publishing Co. Pte. Ltd..
- Thomas J. Sargent & LarsPeter Hansen, 2001. "Robust Control and Model Uncertainty," American Economic Review, American Economic Association, vol. 91(2), pages 60-66, May.
- Alexander Schied, 2004. "On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals," Papers math/0407127, arXiv.org.
- Epstein, Larry G. & Schneider, Martin, 2003.
"Recursive multiple-priors,"
Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November.
- Larry G. Epstein & Martin Schneider, 2001. "Recursive Multiple-Priors," RCER Working Papers 485, University of Rochester - Center for Economic Research (RCER).
- Alexander Schied & Ching-Tang Wu, 2005. "Duality theory for optimal investments under model uncertainty," SFB 649 Discussion Papers SFB649DP2005-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Sep 2005.
- Carr, Peter & Geman, Helyette & Madan, Dilip B., 2001. "Pricing and hedging in incomplete markets," Journal of Financial Economics, Elsevier, vol. 62(1), pages 131-167, October.
- Gilboa, Itzhak & Schmeidler, David, 1989.
"Maxmin expected utility with non-unique prior,"
Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
- Gilboa, Itzhak & Schmeidler, David, 1986. "Maxmin Expected Utility with a Non-Unique Prior," Foerder Institute for Economic Research Working Papers 275405, Tel-Aviv University > Foerder Institute for Economic Research.
- Itzhak Gilboa & David Schmeidler, 1989. "Maxmin Expected Utility with Non-Unique Prior," Post-Print hal-00753237, HAL.
- Patrick Cheridito & Freddy Delbaen & Michael Kupper, 2004. "Dynamic monetary risk measures for bounded discrete-time processes," Papers math/0410453, arXiv.org.
- Burgert Christian & Rüschendorf Ludger, 2005. "Optimal consumption strategies under model uncertainty," Statistics & Risk Modeling, De Gruyter, vol. 23(1), pages 1-14, January.
- Schmeidler, David, 1989.
"Subjective Probability and Expected Utility without Additivity,"
Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
- David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
- Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
- Alexander Schied, 2005. "Optimal Investments for Robust Utility Functionals in Complete Market Models," Mathematics of Operations Research, INFORMS, vol. 30(3), pages 750-764, August.
- Kai Detlefsen & Giacomo Scandolo, 2005. "Conditional and dynamic convex risk measures," Finance and Stochastics, Springer, vol. 9(4), pages 539-561, October.
- Schied Alexander & Wu Ching-Tang, 2005. "Duality theory for optimal investments under model uncertainty," Statistics & Risk Modeling, De Gruyter, vol. 23(3/2005), pages 199-217, March.
- Burgert Christian & Rüschendorf Ludger, 2005. "Optimal consumption strategies under model uncertainty," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 1-14, January.
- Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Alexander Schied, 2007. "Robust Optimal Control for a Consumption-investment Problem," SFB 649 Discussion Papers SFB649DP2007-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- 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.
- Wiebke Wittmüß, 2006. "Robust Optimization of Consumption with Random Endowment," SFB 649 Discussion Papers SFB649DP2006-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Daniel Hernandez–Hernandez & Alexander Schied, 2006. "A Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties," SFB 649 Discussion Papers SFB649DP2006-061, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Sigrid Kallblad, 2013. "Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals," Papers 1311.7419, arXiv.org.
- Sigrid Källblad, 2017. "Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals," Finance and Stochastics, Springer, vol. 21(2), pages 397-425, April.
- 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.
- Daniel Hernandez–Hernandez & Alexander Schied, 2006. "A Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties," SFB 649 Discussion Papers SFB649DP2006-061, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Hernández-Hernández Daniel & Schied Alexander, 2006. "Robust utility maximization in a stochastic factor model," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-17, July.
- Laeven, R.J.A. & Stadje, M.A., 2011.
"Entropy Coherent and Entropy Convex Measures of Risk,"
Discussion Paper
2011-031, Tilburg University, Center for Economic Research.
- Laeven, R.J.A. & Stadje, M.A., 2011. "Entropy Coherent and Entropy Convex Measures of Risk," Other publications TiSEM 08f59c7c-7302-47f9-9a9b-b, Tilburg University, School of Economics and Management.
- Alexander Schied, 2007. "Optimal investments for risk- and ambiguity-averse preferences: a duality approach," Finance and Stochastics, Springer, vol. 11(1), pages 107-129, January.
- Hernández-Hernández, Daniel & Schied, Alexander, 2007. "A control approach to robust utility maximization with logarithmic utility and time-consistent penalties," Stochastic Processes and their Applications, Elsevier, vol. 117(8), pages 980-1000, August.
- Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
- Dan A. Iancu & Marek Petrik & Dharmashankar Subramanian, 2015. "Tight Approximations of Dynamic Risk Measures," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 655-682, March.
- Acciaio, Beatrice & Föllmer, Hans & Penner, Irina, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," LSE Research Online Documents on Economics 50118, London School of Economics and Political Science, LSE Library.
- Yi Shen & Zachary Van Oosten & Ruodu Wang, 2024. "Partially Law-Invariant Risk Measures," Papers 2401.17265, arXiv.org, revised May 2024.
- Bellini, Fabio & Laeven, Roger J.A. & Rosazza Gianin, Emanuela, 2021. "Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures," European Journal of Operational Research, Elsevier, vol. 291(2), pages 438-446.
- Knispel, Thomas & Laeven, Roger J.A. & Svindland, Gregor, 2016.
"Robust optimal risk sharing and risk premia in expanding pools,"
Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 182-195.
- Thomas Knispel & Roger J. A. Laeven & Gregor Svindland, 2016. "Robust Optimal Risk Sharing and Risk Premia in Expanding Pools," Papers 1601.06979, arXiv.org.
- Daniel Hernández-Hernández & Alexander Schied, 2007. "Robust Maximization of Consumption with Logarithmic Utility," SFB 649 Discussion Papers SFB649DP2007-030, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Andreas H Hamel, 2018. "Monetary Measures of Risk," Papers 1812.04354, arXiv.org.
- Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
- Roger J. A. Laeven & Mitja Stadje, 2014. "Robust Portfolio Choice and Indifference Valuation," Mathematics of Operations Research, INFORMS, vol. 39(4), pages 1109-1141, November.
- Jan Obłój & Johannes Wiesel, 2021. "Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1454-1493, October.
- Arthur Charpentier, 2018. "An introduction to multivariate and dynamic risk measures," Working Papers hal-01831481, HAL.
More about this item
Keywords
Model uncertainty; ambiguity; convex risk measures; optimal investments; duality theory;All these keywords.
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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2005-10-29 (Finance)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hum:wpaper:sfb649dp2005-051. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: RDC-Team (email available below). General contact details of provider: https://edirc.repec.org/data/sohubde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.