Wittmüß, Wiebke - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
semimartingales. We formulate this as a maximin problem
that will be solved by duality methods.
keywords: duality theory; risk …, 2005.
[25] A. Schied and C.-T. Wu. Duality theory for optimal investments under model uncertainty.
Statistics & Decisions … (compare e.g. [13]). Therefore
we will treat these problems later. Nevertheless, we will then need the results from duality …