Dual Characterization of the Value Function in the Robust Utility Maximization Problem

DOI10.1137/S0040585X9798508XzbMath1238.91126MaRDI QIDQ2882299

Alexander A. Gushchin

Publication date: 4 May 2012

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

dual problemutility maximization\(f\)-divergencerobust utility

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (4)

Some Functional Analytic Tools for Utility Maximization ⋮ Robust utility maximization in terms of supermartingale measures ⋮ Dynamic robust duality in utility maximization ⋮ Dual problem of robust utility maximization

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