Robust Utility Maximization without Model Compactness
نویسندگان
چکیده
منابع مشابه
Robust Utility Maximization without Model Compactness
We formulate conditions for the solvability of the problem of robust utility maximization from final wealth in continuous time financial markets, without assuming weak compactness of the densities of the uncertainty set, as customary in the literature. Relevant examples of such a situation typically arise when the uncertainty set is determined through moment constraints. Our approach is based o...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2016
ISSN: 1945-497X
DOI: 10.1137/140985718