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~subject:"Decision under uncertainty"
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Decision under uncertainty
Theorie
32
Theory
32
Portfolio selection
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Portfolio-Management
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Transaction costs
14
Markov chain
12
Markov-Kette
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Transaktionskosten
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Portfolio optimization
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Stochastic process
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Stochastischer Prozess
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Risikomaß
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Estimation theory
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Mathematical programming
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Mathematische Optimierung
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Schätztheorie
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Utility maximization
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Consistent price system
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Measurement
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Messung
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Monte Carlo simulation
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Proportional transaction costs
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Entscheidung unter Unsicherheit
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Erwartungsnutzen
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Expected Shortfall
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Expected utility
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Experten
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Experts
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Incomplete information
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Volatility
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partial information
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Sass, Jörn
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Westphal, Dorothee
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International journal of theoretical and applied finance
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Mathematics and financial economics
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ECONIS (ZBW)
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Robust utility maximizing strategies under model uncertainty and their convergence
Sass, Jörn
;
Westphal, Dorothee
- In:
Mathematics and financial economics
16
(
2022
)
2
,
pp. 367-397
Persistent link: https://www.econbiz.de/10013167940
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2
Robust utility maximization in a multivariate financial market with stochastic drift
Sass, Jörn
;
Westphal, Dorothee
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012652713
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3
Model uncertainty and expert opinions in continuous-time financial markets
Westphal, Dorothee
-
2019
Persistent link: https://www.econbiz.de/10012172932
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