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Robust utility maximization for diffusion market model with misspecified coefficients

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  • R. Tevzadze
  • T. Toronjadze

Abstract

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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  • R. Tevzadze & T. Toronjadze, 2009. "Robust utility maximization for diffusion market model with misspecified coefficients," Papers 0911.3043, arXiv.org.
    • Handle: RePEc:arx:papers:0911.3043
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    References listed on IDEAS

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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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    Cited by:

    1. Meriam El Mansour & Emmanuel Lepinette, 2023. "Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty," Papers 2311.08847, arXiv.org.

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