Characterization of the Minimal Penalty of a Convex Risk Measure with Applications to Robust Utility Maximization for Lévy Models (Q6173305)
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scientific article; zbMATH DE number 7715214
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Characterization of the Minimal Penalty of a Convex Risk Measure with Applications to Robust Utility Maximization for Lévy Models |
scientific article; zbMATH DE number 7715214 |
Statements
Characterization of the Minimal Penalty of a Convex Risk Measure with Applications to Robust Utility Maximization for Lévy Models (English)
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21 July 2023
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convex risk measures
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Fenchel-Legendre transformation
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minimal penalization
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Lévy process
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robust utility maximization
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