On Admissible Strategies in Robust Utility Maximization

Details On Admissible Strategies in Robust Utility Maximization On Admissible Strategies in Robust Utility Maximization

2011-09-26

arxiv.org/abs/1109.5512v2

Economy

Quantitative Finance

Portfolio Management

Forthcoming in Mathematics and Financial Economics

Scientific paper

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, so that an optimizer is obtained. Under suitable assumptions, especially a time-consistency property of the set of probabilities which describes the model uncertainty, we show that an optimal strategy is obtained in the class of strategies whose wealths are supermartingales under all local martingale measures having a finite generalized entropy with at least one of candidate models (probabilities).

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