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arxiv: 1311.7419 · v1 · pith:4NMLRM2Ynew · submitted 2013-11-28 · 💱 q-fin.PM

Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals

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keywords resultsutilityambiguity-averseproblemquasiconcaverisk-accordingaxiomatic
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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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