Robust utility maximization with nonlinear continuous semimartingales

David Criens and Lars Niemann

Papers from arXiv.org

Abstract: In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued function that depends on time and path. We show that the robust utility maximization problem is in duality with a conjugate problem, and we study the existence of optimal portfolios for logarithmic, exponential and power utilities.

Date: 2022-06, Revised 2023-08
New Economics Papers: this item is included in nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2206.14015

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