Exponential utility maximization under model uncertainty for unbounded endowments
From MaRDI portal
Publication:670752
DOI10.1214/18-AAP1428zbMATH Open1419.91285arXiv1610.00999WikidataQ115517779 ScholiaQ115517779MaRDI QIDQ670752FDOQ670752
Publication date: 20 March 2019
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by dynamically investing in a financial market, and statically in available options. We show that, for any measurable random endowment (regardless of whether the problem is finite or not) an optimal strategy exists, a dual representation in terms of (calibrated) martingale measures holds true, and that the problem satisfies the dynamic programming principle (in case of no options). Further it is shown that the value of the utility maximization problem converges to the robust superhedging price as the risk aversion parameter gets large, and examples of nondominated probabilistic models are discussed.
Full work available at URL: https://arxiv.org/abs/1610.00999
Martingales with discrete parameter (60G42) Utility theory (91B16) Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Optimum consumption and portfolio rules in a continuous-time model
- Maxmin expected utility with non-unique prior
- Quantile hedging
- Utility maximization in incomplete markets
- Dynamic exponential utility indifference valuation
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Stochastic finance. An introduction in discrete time
- Stochastic optimal control. The discrete time case
- Robust hedging of the lookback option
- Local martingales and the fundamental asset pricing theorems in the discrete-time case
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Arbitrage and duality in nondominated discrete-time models
- Constructing sublinear expectations on path space
- Robust utility maximization for complete and incomplete markets
- A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
- Model-independent bounds for option prices -- a mass transport approach
- On general minimax theorems
- Optimal investment under model uncertainty in nondominated models
- Exponential Hedging and Entropic Penalties
- ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL
- The minimal entropy martingale measure and the valuation problem in incomplete markets
- COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
- Robust utility maximization with unbounded random endowment
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- Utility maximization under model uncertainty in discrete time
- Complete duality for martingale optimal transport on the line
- Robust utility maximization without model compactness
- Risk Measures and Robust Optimization Problems
- Multiple-priors optimal investment in discrete time for unbounded utility function
- On a strong form of propagation of chaos for McKean-Vlasov equations
- Nonconcave robust optimization with discrete strategies under Knightian uncertainty
- Conditional nonlinear expectations
- Utility Maximization with Proportional Transaction Costs Under Model Uncertainty
- Measurable Selections and the Uniformization of Souslin Sets
- Robust Utility Maximization in Discrete-Time Markets with Friction
- ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES
- Pointwise Arbitrage Pricing Theory in Discrete Time
- Computational aspects of robust optimized certainty equivalents and option pricing
- Duality for increasing convex functionals with countably many marginal constraints
Cited In (26)
- Multiple-priors optimal investment in discrete time for unbounded utility function
- Extended Laplace principle for empirical measures of a Markov chain
- Short Communication: Super-Replication Prices with Multiple Priors in Discrete Time
- Markov decision processes under model uncertainty
- Robust utility maximization of terminal wealth with drift and volatility uncertainty
- A conditional version of the second fundamental theorem of asset pricing in discrete time
- Model Uncertainty: A Reverse Approach
- On robust fundamental theorems of asset pricing in discrete time
- Nonconcave robust optimization with discrete strategies under Knightian uncertainty
- Robust utility maximisation in markets with transaction costs
- Conditional nonlinear expectations
- Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework
- Robust utility maximization under model uncertainty via a penalization approach
- Utility Maximization with Proportional Transaction Costs Under Model Uncertainty
- No-arbitrage with multiple-priors in discrete time
- A unified framework for robust modelling of financial markets in discrete time
- Duality theory for robust utility maximisation
- Super-replication price: it can be ok
- Duality for pathwise superhedging in continuous time
- Robust Utility Maximization in Discrete-Time Markets with Friction
- Limits of random walks with distributionally robust transition probabilities
- Title not available (Why is that?)
- Quasi-sure essential supremum and applications to finance
- On utility maximization under model uncertainty in discrete‐time markets
- Robust arbitrage conditions for financial markets
- The Robust Superreplication Problem: A Dynamic Approach
This page was built for publication: Exponential utility maximization under model uncertainty for unbounded endowments
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q670752)
