Robust utility maximization with nonlinear continuous semimartingales

DOI10.1007/s11579-023-00342-yzbMath1522.91214arXiv2206.14015OpenAlexW4385949721MaRDI QIDQ6051347

Lars Niemann, David Criens

Publication date: 20 September 2023

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2206.14015

zbMATH Keywords

duality theoryKnightian uncertaintyrobust utility maximizationsemimartingale characteristicsnonlinear continuous semimartingalesrobust market price of risk

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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