Asymptotics of robust utility maximization

DOI10.1214/11-AAP764zbMath1237.91244arXiv1203.1191MaRDI QIDQ2428048

Thomas Knispel

Publication date: 20 April 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.1191

zbMATH Keywords

verification theorem; Hamilton-Jacobi-Isaacs equation; robust utility maximization; asymptotic growth rate; expected power utility; stochastic factor model; risk-sensitive game

Mathematics Subject Classification ID

91A23: Differential games (aspects of game theory)

93E20: Optimal stochastic control

91G80: Financial applications of other theories

91G10: Portfolio theory

Related Items

Asymptotic arbitrage and large deviations

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