Optimal investments for risk- and ambiguity-averse preferences: a duality approach (Q2463705)

The goal of this paper is to study the problem of constructing dynamic investment strategies whose terminal wealth maximizes a functional that is a sum of utility functional and a penalization weight. The author develops the duality theory for the maximization of the robust utility in a very general setting and under rather weak assumptions. The main results are a minimax identity stating that the maximization over strategies and the minimization over measures can be interchanged, an analysis of the duality relations between the primal and the dual problems, and an existence and uniqueness result for optimal strategies based on a characterization of the optimal terminal wealth.