On utility maximization with derivatives under model uncertainty
Probability
2013-07-19 v1 Portfolio Management
Abstract
We consider the robust utility maximization using a static holding in derivatives and a dynamic holding in the stock. There is no fixed model for the price of the stock but we consider a set of probability measures (models) which are not necessarily dominated by a fixed probability measure. By assuming that the set of physical probability measures is convex and weakly compact, we obtain the duality result and the existence of an optimizer.
Keywords
Cite
@article{arxiv.1307.4813,
title = {On utility maximization with derivatives under model uncertainty},
author = {Erhan Bayraktar and Zhou Zhou},
journal= {arXiv preprint arXiv:1307.4813},
year = {2013}
}
Comments
Robust utility maximization, model uncertainty, semi-static hedging