EconPapers    
Economics at your fingertips  
 

Robust expected utility maximization with medial limits

Daniel Bartl, Patrick Cheridito and Michael Kupper

Papers from arXiv.org

Abstract: We study a robust expected utility maximization problem with random endowment in discrete time. We give conditions under which an optimal strategy exists and derive a dual representation of the optimal utility. Our approach is based on medial limits, a functional version of Choquet's capacitability theorem and a general representation result for monotone convex functionals. The novelty is that it works in cases where robustness is described by a general family of probability measures that do not have to be dominated or time-consistent.

New Economics Papers: this item is included in nep-mic and nep-upt
Date: 2017-12
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1712.07699 Latest version (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:arx:papers:1712.07699

Access Statistics for this paper

More papers in Papers from arXiv.org
Series data maintained by arXiv administrators ().

 
Page updated 2018-01-20
Handle: RePEc:arx:papers:1712.07699