Duality theory for robust utility maximisation (Q2049550)

Let \(U:(0,\infty)\rightarrow\mathbb{R}\) be a utility function, i.e. nondecreasing and concave function. The authors of the paper develop a duality theory for the \textit{robust utility maximisation problem} which can be defined by the following maximisation problem \[ u(x):=\sup_{g\in\mathcal{C}(x)}\inf_{\mathbb{P}\in\mathcal{P}}\mathbb{E}_\mathbb{P}(U(g)),\, x>0, \] where \(\mathcal{P}\) denotes a set of probability measures, and \(\mathcal{C}(x):=x\,\mathcal{C}\) is a set of random variables. If \(\mathcal{P}\) consists of one element, then the robust utility maximisation problem coincides with the \textit{classical utility maximisation problem}.