Robust Utility Maximization with L\'evy Processes
Mathematical Finance
2016-03-23 v2 Optimization and Control
Portfolio Management
Abstract
We study a robust portfolio optimization problem under model uncertainty for an investor with logarithmic or power utility. The uncertainty is specified by a set of possible L\'evy triplets; that is, possible instantaneous drift, volatility and jump characteristics of the price process. We show that an optimal investment strategy exists and compute it in semi-closed form. Moreover, we provide a saddle point analysis describing a worst-case model.
Keywords
Cite
@article{arxiv.1502.05920,
title = {Robust Utility Maximization with L\'evy Processes},
author = {Ariel Neufeld and Marcel Nutz},
journal= {arXiv preprint arXiv:1502.05920},
year = {2016}
}
Comments
Forthcoming in 'Mathematical Finance'