A Robust Version of Convex Integral Functionals
AbstractWe consider the pointwise supremum of a family of convex integral functionals of essentially bounded random variables, each associated to a common convex integrand and a respective probability measure belonging to a dominated weakly compact convex set. Its conjugate functional is analyzed, providing a pair of upper and lower bounds as direct sums of common regular part and respective singular parts, which coincide when the defining set of probabilities is a singleton, as the classical Rockafellar theorem, and these bounds are generally the best in a certain sense. We then investigate when the conjugate eliminates the singular measures, which a fortiori implies the equality of the upper and lower bounds, and its relation to other finer regularity properties of the original functional and of the conjugate. As an application, a general duality result in the robust utility maximization problem is obtained.
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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-319.
Length: 27 pages
Date of creation: May 2013
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