ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION (Forthcoming in "Mathematics and Financial Economics")
AbstractThe existence of optimal strategy in robust utility maximization is addressed when the utility function is finite on the entire real line. A delicate problem in this case is to find a ggood definitionh of admissible strategies to obtain an optimizer. Under certain assumptions, especially a time-consistency property of the set ‚o of probabilities which describes the model uncertainty, we show that an optimal strategy is obtained in the class of those whose wealths are supermartingales under all local martingale measures having a finite generalized entropy with one of P ¸ ‚o.
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Bibliographic InfoPaper provided by Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo in its series CARF F-Series with number CARF-F-257.
Length: 15 pages
Date of creation: Oct 2011
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-03 (All new papers)
- NEP-MIC-2012-04-03 (Microeconomics)
- NEP-UPT-2012-04-03 (Utility Models & Prospect Theory)
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