Robust utility maximization with nonlinear continuous semimartingales
David Criens, Lars Niemann
| Year of publication: |
2023
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|---|---|
| Authors: | Criens, David ; Niemann, Lars |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9660, ZDB-ID 2389109-9. - Vol. 17.2023, 3, p. 499-536
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| Subject: | Duality theory | Knightian uncertainty | Nonlinear continuous semimartingales | Robust market price of risk | Robust utility maximization | Semimartingale characteristics | Theorie | Theory | Portfolio-Management | Portfolio selection | Martingal | Martingale | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Risiko | Risk |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-023-00342-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014381096