Robust Utility Maximization without Model Compactness

DOI10.1137/140985718zbMath1368.91163arXiv1405.0251OpenAlexW2291202709MaRDI QIDQ2797753

J. Backhoff-Veraguas, Joaquin Fontbona

Publication date: 31 March 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.0251

zbMATH Keywords

Orlicz spacemodular spacerobust utility maximizationentropy minimizationnoncompact uncertainty setworst-case measure

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Financial applications of other theories (91G80) Duality theory (optimization) (49N15) Portfolio theory (91G10)

Related Items (7)

Robust expected utility maximization with medial limits ⋮ Sensitivity analysis for expected utility maximization in incomplete Brownian market models ⋮ Minimax identity with robust utility functional for a nonconcave utility ⋮ Exponential utility maximization under model uncertainty for unbounded endowments ⋮ Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals ⋮ PORTFOLIO OPTIMIZATION UNDER NONLINEAR UTILITY ⋮ Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization

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