Robust utility maximization with nonlinear continuous semimartingales
Abstract: In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued function that depends on time and path. We show that the robust utility maximization problem is in duality with a conjugate problem, and we study the existence of optimal portfolios for logarithmic, exponential and power utilities
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Mathematics and financial economics. - 17, 3 (2023) , 499-536, ISSN: 1862-9660
- Event
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Veröffentlichung
- (where)
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Freiburg
- (who)
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Universität
- (when)
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2023
- Creator
- DOI
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10.1007/s11579-023-00342-y
- URN
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urn:nbn:de:bsz:25-freidok-2386937
- Rights
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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25.03.2025, 1:49 PM CET
Data provider
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Associated
- Criens, David
- Niemann, Lars
- Universität
Time of origin
- 2023
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