Robust utility maximization for a diffusion market model with misspecified coefficients
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- Ariel Neufeld & Marcel Nutz, 2015. "Robust Utility Maximization with L\'evy Processes," Papers 1502.05920, arXiv.org, revised Mar 2016.
More about this item
KeywordsMaximin problem; Saddle point; Hamilton–Jacobi–Bellman–Isaacs equation; Robust utility maximization; Generalized control; 60H10; 60H30; 90C47; G3; D5;
- G3 - Financial Economics - - Corporate Finance and Governance
- D5 - Microeconomics - - General Equilibrium and Disequilibrium
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