Robust utility maximization with nonlinear continuous semimartingales
Mathematical Finance
2023-08-04 v4 Optimization and Control
Probability
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.
Keywords
Cite
@article{arxiv.2206.14015,
title = {Robust utility maximization with nonlinear continuous semimartingales},
author = {David Criens and Lars Niemann},
journal= {arXiv preprint arXiv:2206.14015},
year = {2023}
}
Comments
To appear in "Mathematics and Financial Economics"