Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
Portfolio Management
2013-12-02 v1
Abstract
Motivated by recent axiomatic developments, we study the risk- and ambiguity-averse investment problem where trading takes place over a fixed finite horizon and terminal payoffs are evaluated according to a criterion defined in terms of a quasiconcave utility functional. We extend to the present setting certain existence and duality results established for the so-called variational preferences by Schied (2007). The results are proven by building on existing results for the classical utility maximization problem.
Keywords
Cite
@article{arxiv.1311.7419,
title = {Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals},
author = {Sigrid Källblad},
journal= {arXiv preprint arXiv:1311.7419},
year = {2013}
}