Using a dynamic (stochastic-factor) portfolio model, we devise a method to estimate the impact of the oil price on the …

measure. The underlying market is modeled by a diffusion process whose coefficients are driven by an external stochastic … factor process. Our main results give conditions on the minimal penalty function of the robust utility functional under which … external stochastic factor process. Our main results give conditions on the minimal penalty function of the robust utility …

. In doing so, we utilize the new stochastic-factor model (a recent development in mathematical finance). Our results …