Robust Maximization of Asymptotic Growth under Covariance Uncertainty

Details Robust Maximization of Asymptotic Growth under Covariance Uncertainty Robust Maximization of Asymptotic Growth under Covariance Uncertainty

2011-07-15

arxiv.org/abs/1107.2988v1

Economy

Quantitative Finance

Portfolio Management

Scientific paper

This paper resolves a question proposed in Kardaras and Robertson (2011): how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying process is unavailable. Among an appropriate class of admissible covariance structures, we characterize the optimal trading strategy in terms of a generalized version of a principal half-eigenvalue of a Pucci extremal operator and its associated eigenfunction.

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