Gundel, Anne - In: Finance and Stochastics 9 (2005) 2, pp. 151-176
We investigate the problem of maximizing the robust utility functional <InlineEquation ID="Equ1"> <EquationSource Format="TEX">$\inf_{Q \in \mathcal{Q}} E_Qu(X)$</EquationSource> </InlineEquation>. We give the dual characterization for its solution for both a complete and an incomplete market model. To this end, we introduce the new notion of reverse f-projections and use techniques...</equationsource></inlineequation>
