Get 20M+ Full-Text Papers For Less Than $1.50/day. Subscribe now for You or Your Team.

Learn More →

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

Optimal investments for risk- and ambiguity-averse preferences: a duality approach Ambiguity, also called Knightian or model uncertainty, is a key feature in financial modeling. A recent paper by Maccheroni et al. (preprint, 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 (Ann. Appl. Probab. 9, 904–950, 1999; Ann. Appl. Probab. 13, 1504–1516, 2003). http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Finance and Stochastics Springer Journals

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

Finance and Stochastics , Volume 11 (1) – Nov 7, 2006

Loading next page...
 
/lp/springer-journals/optimal-investments-for-risk-and-ambiguity-averse-preferences-a-BZLaviCaP3

References (53)

Publisher
Springer Journals
Copyright
Copyright © 2006 by Springer-Verlag
Subject
Mathematics; Quantitative Finance; Finance, general; Statistics for Business/Economics/Mathematical Finance/Insurance; Economic Theory/Quantitative Economics/Mathematical Methods; Probability Theory and Stochastic Processes
ISSN
0949-2984
eISSN
1432-1122
DOI
10.1007/s00780-006-0024-2
Publisher site
See Article on Publisher Site

Abstract

Ambiguity, also called Knightian or model uncertainty, is a key feature in financial modeling. A recent paper by Maccheroni et al. (preprint, 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 (Ann. Appl. Probab. 9, 904–950, 1999; Ann. Appl. Probab. 13, 1504–1516, 2003).

Journal

Finance and StochasticsSpringer Journals

Published: Nov 7, 2006

There are no references for this article.