Robust utility maximization for diffusion market model with misspecified coefficients

R. Tevzadze and T. Toronjadze

Papers from arXiv.org

Abstract: The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose price is described by diffusion process with misspecified trend and volatility coefficients, and non-tradable asset with a known parameter. The robust utility functional is defined in terms of a HARA utility function. We give explicit characterization of the solution of the problem by means of a solution of the HJBI equation.

Date: 2009-11
New Economics Papers: this item is included in nep-upt
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