Robust utility maximization for diffusion market model with misspecified coefficients
The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose price is described by diffusion process with misspecified trend and volatility coefficients, and non-tradable asset with a known parameter. The robust utility functional is defined in terms of a HARA utility function. We give explicit characterization of the solution of the problem by means of a solution of the HJBI equation.
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.:
- Tevzadze, Revaz, 2008. "Solvability of backward stochastic differential equations with quadratic growth," Stochastic Processes and their Applications, Elsevier, vol. 118(3), pages 503-515, March.
When requesting a correction, please mention this item's handle: RePEc:arx:papers:0911.3043. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If references are entirely missing, you can add them using this form.