Robust utility maximization of terminal wealth with drift and volatility uncertainty

DOI10.1080/02331934.2020.1774586zbMath1475.91333arXiv1909.05335OpenAlexW3033697854MaRDI QIDQ5860818

Kerem Uğurlu

Publication date: 23 November 2021

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.05335

zbMATH Keywords

optimal controlmathematical financeKnightian uncertainty

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

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