Robust portfolio choice and indifference valuation
Year of publication: |
2014
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Authors: | Laeven, Roger J. A. ; Stadje, Mitja |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 39.2014, 4, p. 1109-1141
|
Subject: | robust preferences | ambiguity aversion | recursiveness and time-consistency | convex risk measures | portfolio choice | incomplete markets | jumps | indifference valuation | BSDEs | exponential and power utility | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | Unvollkommener Markt | Incomplete market | Robustes Verfahren | Robust statistics | Entscheidung unter Unsicherheit | Decision under uncertainty |
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