Duality theory for optimal investments under model uncertainty
Year of publication: |
2005
|
---|---|
Authors: | Schied, Alexander ; Wu, Ching-Tang |
Published in: |
Statistics & Decisions. - Oldenbourg Wissenschaftsverlag GmbH, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 23.2005, 3, p. 199-217
|
Publisher: |
Oldenbourg Wissenschaftsverlag GmbH |
Subject: | portfolio optimization | model uncertainty | Knightian uncertainty | coherent risk measures | convex duality |
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