Please use this identifier to cite or link to this item:
Schied, Alexander
Year of Publication: 
Series/Report no.: 
SFB 649 discussion paper 2005,051
Ambiguity, also called Knightian or model uncertainty, is a key feature in financial modeling. A recent paper by Maccheroni et al. (2004) characterizes investor preferences under aversion against both risk and ambiguity. Their result shows that these preferences can be numerically represented in terms of convex risk measures. In this paper we study the corresponding problem of optimal investment over a given time horizon, using a duality approach and building upon the results by Kramkov and Schachermayer (1999, 2001). In many situations this seems to be the only feasible approach among the known techniques, as is illustrated by several examples.
Model uncertainty
convex risk measures
optimal investments
duality theory
Document Type: 
Working Paper

Files in This Item:
490.87 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.