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On admissible strategies in robust utility maximization

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Abstract

The existence of optimal strategy in robust utility maximization is addressed when the utility function is finite on the entire real line. A delicate problem in this case is to find a “good definition” of admissible strategies to admit an optimizer. Under certain assumptions, especially a kind of time-consistency property of the set \({\mathcal{P}}\) of probabilities which describes the model uncertainty, we show that an optimal strategy is obtained in the class of those whose wealths are supermartingales under all local martingale measures having a finite generalized entropy with one of \({P\in\mathcal{P}}\).

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  1. Graduate School of Economics, The University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo, 113-0033, Japan

    Keita Owari

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  1. Keita Owari
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Correspondence to Keita Owari.

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Owari, K. On admissible strategies in robust utility maximization. Math Finan Econ 6, 77–92 (2012). https://doi.org/10.1007/s11579-012-0068-3

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  • DOI: https://doi.org/10.1007/s11579-012-0068-3

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