Duality theory for robust utility maximisation

• المؤلفون الرئيسيون: Bartl, Daniel, Kupper, Michael, Neufeld, Ariel
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2022
• الموضوعات: Science::Mathematics; Bipolar Theorem; Drift and Volatility Uncertainty
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/162314
• المؤسسة: Nanyang Technological University

In this paper, we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real line. Our results are inspired by – and can be seen as the robust analogues of – the seminal work of Kramkov and Schachermayer (Ann. Appl. Prob...