Duality theory under model uncertainty for non-concave utility functions

DOI10.17721/1812-5409.2019/4.6zbMath1463.62321OpenAlexW3087839831MaRDI QIDQ5135999

O. O. Kharytonova

Publication date: 24 November 2020

Published in: Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17721/1812-5409.2019/4.6

zbMATH Keywords

minimax problemconcavizationrobust utility maximization functional

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Minimax procedures in statistical decision theory (62C20) Utility theory (91B16)

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Minimax identity with robust utility functional for a nonconcave utility

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