Robust utility maximization in a stochastic factor model
Year of publication: |
2006
|
---|---|
Authors: | Hernández-Hernández, Daniel ; Schied, Alexander |
Published in: |
Statistics & Risk Modeling. - Oldenbourg Wissenschaftsverlag GmbH, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 24.2006, 1, p. 109-125
|
Publisher: |
Oldenbourg Wissenschaftsverlag GmbH |
Subject: | optimal investment | model uncertainty | incomplete markets | stochastic volatility | coherent risk measures | optimal control | convex duality |
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