Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
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Publication:522056
DOI10.1007/s00780-016-0318-yzbMath1367.91165arXiv1311.7419OpenAlexW2135213302WikidataQ58105353 ScholiaQ58105353MaRDI QIDQ522056
Publication date: 13 April 2017
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.7419
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Informational Efficiency under Short Sale Constraints, Portfolio optimization with two quasiconvex risk measures, Portfolio optimization with entropic value-at-risk, Dynamically consistent investment under model uncertainty: the robust forward criteria
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