Robust maximization of asymptotic growth under covariance uncertainty
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Abstract: This paper resolves a question proposed in Kardaras and Robertson [Ann. Appl. Probab. 22 (2012) 1576-1610]: how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying assets is unavailable. Among an appropriate class of admissible covariance structures, we characterize the optimal trading strategy in terms of a generalized version of the principal eigenvalue of a fully nonlinear elliptic operator and its associated eigenfunction, by slightly restricting the collection of nondominated probability measures.
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Cited in
(6)- Robust asymptotic growth in stochastic portfolio theory under long‐only constraints
- Ergodic robust maximization of asymptotic growth
- Utility maximization under model uncertainty in discrete time
- Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix
- Robust maximization of asymptotic growth
- Optimal long term investment under model ambiguity.
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