论文标题
通过非线性连续半明星的强大效用最大化
Robust utility maximization with nonlinear continuous semimartingales
论文作者
论文摘要
在本文中，我们研究了模型不确定性下连续时间的强大效用最大化问题。模型的不确定性受局部特征不确定的连续半明星的控制。在这里，差异特性由取决于时间和路径的设置值函数规定。我们表明，强大的效用最大化问题与共轭问题是双重性，我们研究了对数，指数和权力公用事业的最佳投资组合的存在。
In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued function that depends on time and path. We show that the robust utility maximization problem is in duality with a conjugate problem, and we study the existence of optimal portfolios for logarithmic, exponential and power utilities.
