Optimal investment under model uncertainty in nondominated models (Q2848566)

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scientific article; zbMATH DE number 6212032
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    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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