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2006-01-25Buch DOI: 10.18452/3934
Robust Utility Maximization in a Stochastic Factor Model
dc.contributor.authorHernández–Hernández, Daniel
dc.contributor.authorSchied, Alexander
dc.date.accessioned2017-06-15T23:03:25Z
dc.date.available2017-06-15T23:03:25Z
dc.date.created2006-02-09
dc.date.issued2006-01-25
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4586
dc.description.abstractWe give an explicit PDE characterization for the solution of a robust utilitymaximization problem in an incomplete market model, whose volatility, interest rateprocess, and long-term trend are driven by an external stochastic factor process. Therobust utility functional is defined in terms of a HARA utility function with negativerisk aversion and a dynamically consistent coherent risk measure, which allows for modeluncertainty in the distributions of both the asset price dynamics and the factor process.Our method combines two recent advances in the theory of optimal investments: thegeneral duality theory for robust utility maximization and the stochastic control approach to the dual problem of determining optimal martingale measures.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectoptimal controleng
dc.subjectincomplete marketseng
dc.subjectstochastic volatilityeng
dc.subjectconvex dualityeng
dc.subjectoptimal investmenteng
dc.subjectmodel uncertaintyeng
dc.subjectcoherent risk measureseng
dc.subject.ddc330 Wirtschaft
dc.titleRobust Utility Maximization in a Stochastic Factor Model
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10057451
dc.identifier.doihttp://dx.doi.org/10.18452/3934
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages18
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2006
local.edoc.container-issue7
local.edoc.container-year2006
local.edoc.container-erstkatid2195055-6

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