Optimal investment strategies with bounded risks, general utilities, and goal achieving (Q5939299)

A financial maket is considered with multiple, correlated stocks, random appreciation rates, and non-stochastic volatility coefficients. The appreciation rates are independent of the underlying Wiener process and their distribution is known based on the observations of the stock prices. The utility function is a fairly general one, it can be non-continuous, and it has a polynomial bound. The investment strategies are considered, which guarantee that a given claim will be replicated with an error not exceeding a given level. An optimal strategy is obtained, which \textit{does not depend on the current estimation of the appreciation rates}. As a special case, the solution of a goal achieving problem is given. The solution shows that stopping the investment before the expiration time cannot be optimal. Similar results were obtained for a single-stock model in \textit{I. Karatzas} [Asian J. Math. 1, 295-313 (1997; Zbl 0906.93064)] using a totally different approach.