On admissible strategies in robust utility maximization

DOI10.1007/s11579-012-0068-3zbMath1264.91057arXiv1109.5512MaRDI QIDQ1938976

Keita Owari

Publication date: 26 February 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.5512

zbMATH Keywords

convex duality; robust utility maximization; martingale measures; supermartingale

Mathematics Subject Classification ID

91B16: Utility theory

60H30: Applications of stochastic analysis (to PDEs, etc.)

Related Items

Dynamically consistent investment under model uncertainty: the robust forward criteria

Cites Work

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