Robust Utility Maximizing Strategies under Model Uncertainty and their Convergence

4 Sep 2019 Jörn Sass Dorothee Westphal

In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black-Scholes type financial market which may be incomplete. We impose a constraint on the admissible strategies that prevents a pure bond investment and we include uncertainty by means of ellipsoidal uncertainty sets for the drift... (read more)

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