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.
Author: | Anne Gundel |
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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 |