Robust utility maximization for a diffusion market model with misspecified coefficients

Revaz Tevzadze (), Teimuraz Toronjadze () and Tamaz Uzunashvili ()

Finance and Stochastics, 2013, vol. 17, issue 3, 535-563

Abstract: The paper studies the robust maximization of utility from terminal wealth in a diffusion financial market model. The underlying model consists of a tradable risky asset whose price is described by a diffusion process with misspecified trend and volatility coefficients, and a non-tradable asset with a known parameter. The robust functional is defined in terms of a utility function. An explicit characterization of the solution is given via the solution of the Hamilton–Jacobi–Bellman–Isaacs (HJBI) equation. Copyright The Author(s) 2013

Keywords: Maximin problem; Saddle point; Hamilton–Jacobi–Bellman–Isaacs equation; Robust utility maximization; Generalized control; 60H10; 60H30; 90C47; G3; D5 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (24)

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DOI: 10.1007/s00780-012-0199-7

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