Optimal investment under model uncertainty in nondominated models (Q2848566)

In this paper, the authors introduce a mathematical framework for utility maximization under model uncertainty. ``The uncertainty is specified by a family of semi-martingale laws which is typically non-dominated.'' The authors ``establish a duality theory for robust utility maximization in this framework and prove the existence of a probability which is least favorable.''NEWLINENEWLINEThe paper is interesting and well written. The motivation to study model uncertainty comes from the limitation of postulating a fixed distribution on the behaviour of the risky assets. The theme of model uncertainty has recently received widespread attention in applied mathematics.