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Robust Utility Maximization for Complete and Incomplete Market Models

Please always quote using this URN:urn:nbn:de:0296-matheon-2602
  • We investigate the problem of maximizing the robust utility functional inf QEQ EQu(X). We give the dual characterization for its solution for both a complete and an incomplete market model. To this end, we introduce the new notion of reverse f-projections and use techniques developed for f-divergences. This is a suitable tool to reduce the robust problem to the classical problem of utility maximization under a certain measure: the reverse f-projection. Furthermore, we give the dual characterization for a closely related problem, the minimization of expenditures given a minimum level of expected utility in a robust setting and for an incomplete market.

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Metadaten
Author:Anne Gundel
URN:urn:nbn:de:0296-matheon-2602
Referee:Hans Föllmer
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2005/05/18
Release Date:2005/05/18
Preprint Number:254
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