Resource title

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

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Resource description

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). In many situations this seems to be the only feasible approach among the known techniques, as is illustrated by several examples.

Resource author

Alexander Schied

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Resource publish date

Resource language

eng

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text/html

Resource resource URL

http://hdl.handle.net/10419/25070

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Adapt according to the presented license agreement and reference the original author.