Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity

Laurence Carassus, Johannes Wiesel

Year of publication:	2025
Authors:	Carassus, Laurence ; Wiesel, Johannes
Published in:	Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 29.2025, 2, p. 519-551
Subject:	High model uncertainty \| Uniform diversification \| Utility maximisation \| Wasserstein distance \| Theorie \| Theory \| Erwartungsnutzen \| Expected utility \| Entscheidung unter Unsicherheit \| Decision under uncertainty \| Mathematische Optimierung \| Mathematical programming \| Nutzen \| Utility \| Portfolio-Management \| Portfolio selection \| Risikoaversion \| Risk aversion \| Risiko \| Risk

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