Utility Maximization under Model Uncertainty

Abstract

When modelling financial markets one is often confronted with model uncertainty in the sense that parameters of the model or the distributions of some factors in the model are only known up to a certain degree. Expert opinions... [ view full abstract ]

Authors

  1. Dorothee Westphal (TU Kaiserslautern)
  2. Jörn Sass (TU Kaiserslautern)
  3. Ralf Wunderlich (BTU Cottbus-Senftenberg)

Topic Areas

Optimal Investment , Robustness , Utility Theory

Session

MO-P-EM » Robust Finance (14:30 - Monday, 16th July, Emmet)

Presentation Files

The presenter has not uploaded any presentation files.