ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION(Revised in March 2012, Forthcoming in "Mathematics and Financial Economics")

Keita Owari
Additional contact information
Keita Owari: Faculty of Economics, University of Tokyo

No CARF-F-257, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: The existence of optimal strategy in robust utility maximization is addressed when the utility function is finite on the entire real line. A delicate problem in this case is to find a "good definition" of admissible strategies to obtain an optimizer. Under certain assumptions, especially a time-consistency property of the set £Ð of probabilities which describes the model uncertainty, we show that an optimal strategy is obtained in the class of those whose wealths are supermartingales under all local martingale measures having a finite generalized entropy with one of P ¢º £Ð.

Pages: 15 pages
Date: 2011-10
New Economics Papers: this item is included in nep-mic and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.carf.e.u-tokyo.ac.jp/old/pdf/workingpaper/fseries/268.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cfi:fseres:cf257

Access Statistics for this paper

More papers in CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by ().