Optimal Investment under Model Uncertainty in Nondominated Models

DOI10.1137/100782528zbMath1331.60076OpenAlexW1993868621MaRDI QIDQ2848566

Magali Kervarec, Laurent Denis

Publication date: 26 September 2013

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100782528

zbMATH Keywords

capacityduality theoryuncertain volatility modelrobust utility maximizationsemi-martingalesnondominated model

Mathematics Subject Classification ID

Utility theory (91B16) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Stochastic integrals (60H05) Potentials and capacities on other spaces (31C15)

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