Search Results - subject:"Minimax theorems"

Robust utility maximizing strategies under model uncertainty and their convergence

Sass, Jörn; Westphal, Dorothee - In: Mathematics and Financial Economics 16 (2022) 2, pp. 367-397

In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black–Scholes type financial market which may be incomplete. We impose a constraint on the admissible strategies that prevents a pure bond investment and we include uncertainty...

Persistent link: https://www.econbiz.de/10015191667

Robust utility maximizing strategies under model uncertainty and their convergence

Sass, Jörn; Westphal, Dorothee - In: Mathematics and financial economics 16 (2022) 2, pp. 367-397

Persistent link: https://www.econbiz.de/10013167940

On Noncooperative Games, Minimax Theorems and Equilibrium Problems

Frenk, Frenk, J.B.G.; Kassay, G. - Erasmus Research Institute of Management (ERIM), … - 2006

In this chapter we give an overview on the theory of noncooperative games. In the first part we consider in detail for zero-sum (and constant-sum) noncooperative games under which necessary and sufficient conditions on the payoff function and different (extended) strategy sets for both players...

Persistent link: https://www.econbiz.de/10010731012

On Noncooperative Games, Minimax Theorems and Equilibrium Problems

Frenk, J.B.G.; Kassay, G. - Erasmus Research Institute of Management (ERIM), ERIM … - 2006

On Noncooperative Games, Minimax Theorems and Equilibrium Problems J.B.G. Frenk and G. Kassay …. Free Keywords Non-Cooperative Game Theory, Minimax Theorems, Nash Equilibrium Point, KKM Lemma, Equilibrium Problems … Classification scheme (ICS), ICS Webpage On Noncooperative Games, Minimax Theorems and Equilibrium Problems J.B.G.Frenk and G …

Persistent link: https://www.econbiz.de/10005288823

Introduction to Convex and Quasiconvex Analysis

Frenk, Frenk, J.B.G.; Kassay, G. - Erasmus Research Institute of Management (ERIM), … - 2004

In the first chapter of this book the basic results within convex and quasiconvex analysis are presented. In Section 2 we consider in detail the algebraic and topological properties of convex sets within Rn together with their primal and dual representations. In Section 3 we apply the results...

Persistent link: https://www.econbiz.de/10010731440

Introduction to Convex and Quasiconvex Analysis

Frenk, J.B.G.; Kassay, G. - Erasmus Research Institute of Management (ERIM), ERIM … - 2004

convex analysis, quasiconvex analysis, noncooperative games, minimax theorems, optimization theory, Lagrangian dual …

Persistent link: https://www.econbiz.de/10005288660

Introduction to Convex and Quasiconvex Analysis

Frenk, Frenk, J.B.G.; Kassay, G. - Faculteit der Economische Wetenschappen, Erasmus … - 2001

In this paper which will appear as a chapter in the Handbook of Generalized Convexity we discuss the basic ideas of convex and quasiconvex analysis in finite dimensional Euclidean spaces. To illustrate the usefulness of this branch of mathematics also applications to optimization theory and...

Persistent link: https://www.econbiz.de/10010731705

Introduction to Convex and Quasiconvex Analysis

Frenk, J.B.G.; Kassay, G. - Erasmus University Rotterdam, Econometric Institute - 2001

Persistent link: https://www.econbiz.de/10008584643