Optimal investment under model uncertainty in nondominated models (Q2848566)
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scientific article; zbMATH DE number 6212032
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| English | Optimal investment under model uncertainty in nondominated models |
scientific article; zbMATH DE number 6212032 |
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26 September 2013
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robust utility maximization
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semi-martingales
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duality theory
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uncertain volatility model
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nondominated model
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capacity
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Optimal investment under model uncertainty in nondominated models (English)
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In this paper, the authors introduce a mathematical framework for utility maximization under model uncertainty. ``The uncertainty is specified by a family of semi-martingale laws which is typically non-dominated.'' The authors ``establish a duality theory for robust utility maximization in this framework and prove the existence of a probability which is least favorable.''NEWLINENEWLINEThe paper is interesting and well written. The motivation to study model uncertainty comes from the limitation of postulating a fixed distribution on the behaviour of the risky assets. The theme of model uncertainty has recently received widespread attention in applied mathematics.
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0.8576012253761292
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0.8572229146957397
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0.8378269076347351
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0.8326867818832397
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0.8326383829116821
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