Gundel, Anne; Weber, Stefan - In: Stochastic Processes and their Applications 117 (2007) 11, pp. 1663-1688
In this article we consider the portfolio selection problem of an agent with robust preferences in the sense of Gilboa and Schmeidler [Itzhak Gilboa, David Schmeidler, Maxmin expected utility with non-unique prior, Journal of Mathematical Economics 18 (1989) 141-153] in an incomplete market....