Utility Maximization under Model Uncertainty


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 ]


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

Topic Areas

Optimal Investment , Robustness , Utility Theory


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

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