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

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.

preprint2013arXivOpen access
Sigrid Källblad
q-fin.PM
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Sigrid Källblad

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