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On utility maximization with derivatives under model uncertainty

We consider the robust utility maximization using a static holding in derivatives and a dynamic holding in the stock. There is no fixed model for the price of the stock but we consider a set of probability measures (models) which are not necessarily dominated by a fixed probability measure. By assuming that the set of physical probability measures is convex and weakly compact, we obtain the duality result and the existence of an optimizer.
Year of publication:
2013-07
Authors: Bayraktar, Erhan ; Zhou, Zhou
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10010679372
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