Robust Exponential Hedging in a Brownian Setting
AbstractThis paper studies the robust exponential hedging in a Brownian factor model, giving a solvable example using a PDE argument. The dual problem is reduced to a standard stochastic control problem, of which the HJB equation admits a classical solution. Then an optimal strategy will be expressed in terms of the solution to the HJB equation.
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Bibliographic InfoPaper provided by Institute of Economic Research, Hitotsubashi University in its series Global COE Hi-Stat Discussion Paper Series with number gd09-082.
Date of creation: Sep 2009
Date of revision:
Robust Utility Maximization; Stochastic Control; Duality;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-10 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hernández-Hernández, Daniel & Schied, Alexander, 2007. "A control approach to robust utility maximization with logarithmic utility and time-consistent penalties," Stochastic Processes and their Applications, Elsevier, vol. 117(8), pages 980-1000, August.
- Daniel Hernandez–Hernandez & Alexander Schied, 2005. "Robust Utility Maximization in a Stochastic Factor Model," SFB 649 Discussion Papers SFB649DP2006-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Aug 2006.
- Sigrid K\"allblad, 2013. "Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals," Papers 1311.7419, arXiv.org.
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