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2005-09-26Buch DOI: 10.18452/3917
Optimal investments for risk- and ambiguityaverse preferences
dc.contributor.authorSchied, Alexander
dc.date.accessioned2017-06-15T23:00:03Z
dc.date.available2017-06-15T23:00:03Z
dc.date.created2005-10-05
dc.date.issued2005-09-26
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4569
dc.description.abstractAmbiguity, 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). In many situations this seems to be the only feasible approach among the known techniques, as is illustrated by several examples.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectModel uncertaintyeng
dc.subjectambiguityeng
dc.subjectconvex risk measureseng
dc.subjectoptimal investmentseng
dc.subjectduality theoryeng
dc.subject.ddc330 Wirtschaft
dc.titleOptimal investments for risk- and ambiguityaverse preferences
dc.typebook
dc.subtitleA duality approach
dc.identifier.urnurn:nbn:de:kobv:11-10048436
dc.identifier.doihttp://dx.doi.org/10.18452/3917
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages26
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2005
local.edoc.container-issue51
local.edoc.container-year2005
local.edoc.container-erstkatid2195055-6

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