On Admissible Strategies in Robust Utility Maximization

Keita Owari

Papers from arXiv.org

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, so that an optimizer is obtained. Under suitable assumptions, especially a time-consistency property of the set of probabilities which describes the model uncertainty, we show that an optimal strategy is obtained in the class of strategies whose wealths are supermartingales under all local martingale measures having a finite generalized entropy with at least one of candidate models (probabilities).

Date: 2011-09, Revised 2012-03
New Economics Papers: this item is included in nep-mic and nep-upt
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Published in Mathematics and Financial Economics, Vol. 6, No. 2, pp. 77-92, 2012

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1109.5512

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