ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES

DOI10.1111/mafi.12139zbMath1403.91321arXiv1502.05920OpenAlexW2963239993MaRDI QIDQ4635032

Ariel Neufeld, Marcel Nutz

Publication date: 13 April 2018

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.05920

zbMATH Keywords

utility maximizationKnightian uncertaintynonlinear Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Utility theory (91B16) Portfolio theory (91G10)

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