英文标题：
《Risk- and ambiguity-averse portfolio optimization with quasiconcave
utility functionals》
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作者：
Sigrid K\\\"allblad
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最新提交年份：
2013
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英文摘要：
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.
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中文摘要：
受最近公理化发展的启发，我们研究了风险和模糊规避投资问题，其中交易发生在固定的有限范围内，终端收益根据准康凹效用函数定义的标准进行评估。我们将Schied（2007）为所谓的变分偏好建立的某些存在性和对偶结果推广到目前的情况。在经典效用最大化问题已有结果的基础上，对结果进行了验证。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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