Dual characterization of the value function in the robust utility maximization problem

DOI10.1137/S0040585X9798508XzbMATH Open1238.91126MaRDI QIDQ2882299FDOQ2882299

Authors: A. A. Gushchin 

Publication date: 4 May 2012

Published in: Theory of Probability and its Applications (Search for Journal in Brave)

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• Dual problem of robust utility maximization
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zbMATH Keywords

utility maximizationdual problem\(f\)-divergencerobust utility

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Cited In (9)

• Some functional analytic tools for utility maximization
• Characterization of the value process in robust efficient hedging
• Minimax identity with robust utility functional for a nonconcave utility
• Robust utility maximization for complete and incomplete markets
• Duality theory for robust utility maximisation
• Dual problem of robust utility maximization
• Differentiability of the value function in the robust utility maximization problem
• Robust utility maximization in terms of supermartingale measures
• Dynamic robust duality in utility maximization

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