Duality theory for robust utility maximisation
Daniel Bartl, Michael Kupper, Ariel Neufeld
| Year of publication: |
2021
|
|---|---|
| Authors: | Bartl, Daniel ; Kupper, Michael ; Neufeld, Ariel |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 25.2021, 3, p. 469-503
|
| Subject: | Robust utility maximisation | Duality theory | Bipolar theorem | Drift and volatility uncertainty | Nutzen | Utility | Mathematische Optimierung | Mathematical programming | Duales Optimierungsproblem | Dual optimization problem | Robustes Verfahren | Robust statistics | Konsumtheorie | Consumption theory | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-021-00455-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012585983