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Robust utility maximization for diffusion market model with misspecified coefficients

  • R. Tevzadze
  • T. Toronjadze
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    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.

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    Paper provided by in its series Papers with number 0911.3043.

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    Date of creation: Nov 2009
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    Handle: RePEc:arx:papers:0911.3043
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    1. 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.
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