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q-fin.PM2013
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
Sigrid Källblad
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 ar…
q-fin.PM2013★ 1 cited
Time--consistent investment under model uncertainty: the robust forward criteria
Sigrid Kallblad, Jan Obloj, Thaleia Zariphopoulou
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambig…