On Robust Utility Maximization

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dc.creatorPirvu, Traian A
dc.creatorHaussmann, Ulrich G
dc.date2007-02-24
dc.date.accessioned2026-07-07T12:07:22Z
dc.date.available2026-07-07T12:07:22Z
dc.descriptionThis paper studies the problem of optimal investment in incomplete markets, robust with respect to stopping times. We work on a Brownian motion framework and the stopping times are adapted to the Brownian filtration. Robustness can only be achieved for logartihmic utility, otherwise a cashflow should be added to the investor s wealth. The cashflow can be decomposed into the sum of an increasing and a decreasing process. The last one can be viewed as consumption. The first one is an insurance premium the agent has to pay.
dc.identifierhttps://arxiv.org/abs/math/0702727
dc.identifierhttp://arxiv.org/abs/math/0702727
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208945
dc.subjectProbability
dc.subjectOptimization and Control
dc.subjectPortfolio Management
dc.titleOn Robust Utility Maximization
dc.typetext

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