Resource title

Duality theory for optimal investments under model uncertainty

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Resource description

Robust utility functionals arise as numerical representations of investor preferences, when the investor is uncertain about the underlying probabilistic model and averse against both risk and model uncertainty. In this paper, we study the the duality theory for the problem of maximizing the robust utility of the terminal wealth in a general incomplete market model. We also allow for very general sets of prior models. In particular, we do not assume that that all prior models are equivalent to each other, which allows us to handle many economically meaningful robust utility functionals such as those defined by AVaR , concave distortions, or convex capacities. We also show that dropping the equivalence of prior models may lead to new effects such as the existence of arbitrage strategies under the least favorable model.

Resource author

Alexander Schied, Ching-Tang Wu

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25044

Resource license

Adapt according to the presented license agreement and reference the original author.