Optimal Investments for Robust Utility Functionals in Complete Market Models

This paper introduces a systematic approach to the problem of maximizing the robust utility of the terminal wealth of an admissible strategy in a general complete market model, where the robust utility functional is defined by a set 𝒬 of probability measures. Our main result shows that this problem...

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Bibliographische Detailangaben

Veröffentlicht in:	Mathematics of Operations Research. - Institute for Operations Research and the Management Sciences. - 30(2005), 3, Seite 750-764
1. Verfasser:	Schied, Alexander (VerfasserIn)
Format:	Online-Aufsatz
Sprache:	English
Veröffentlicht:	2005
Zugriff auf das übergeordnete Werk:	Mathematics of Operations Research
Schlagworte:	Robust utility functional Utility maximization Knightian uncertainty Robust Savage representation Least favorable measure Uncertain drift Huber-Strassen theory Primary 91B28 Secondary 60G44 Primary: Utility/preference: applications mehr... Secondary: probability: stochastic model applications Mathematics Economics Applied sciences