Utility maximization under model uncertainty in discrete time
Year of publication: |
April 2016
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Authors: | Nutz, Marcel |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 26.2016, 2, p. 252-268
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Subject: | Knightian uncertainty | nondominated model | utility maximization | Entscheidung unter Unsicherheit | Decision under uncertainty | Risiko | Risk | Nutzentheorie | Utility theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection |
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