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2006-09-11Diskussionspapier DOI: 10.18452/4076
Robust Utility Maximization in a Stochastic Factor Model
dc.contributor.authorSchied, Alexander
dc.contributor.authorHernández–Hernández, Daniel
dc.date.accessioned2017-06-15T23:32:14Z
dc.date.available2017-06-15T23:32:14Z
dc.date.created2007-09-27
dc.date.issued2006-09-11
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4728
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.titleRobust Utility Maximization in a Stochastic Factor Model
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-10080102
dc.identifier.urnurn:nbn:de:kobv:11-10057451
dc.identifier.doihttp://dx.doi.org/10.18452/4076
local.edoc.pages18
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2006
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2006,7

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