Robust expected utility maximization with medial limits

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BARTL, Daniel, Patrick CHERIDITO, Michael KUPPER, 2019. Robust expected utility maximization with medial limits. In: Journal of Mathematical Analysis and Applications. 471(1-2), pp. 752-775. ISSN 0022-247X. eISSN 1096-0813. Available under: doi: 10.1016/j.jmaa.2018.11.012

@article{Bartl2019-03Robus-44441, title={Robust expected utility maximization with medial limits}, year={2019}, doi={10.1016/j.jmaa.2018.11.012}, number={1-2}, volume={471}, issn={0022-247X}, journal={Journal of Mathematical Analysis and Applications}, pages={752--775}, author={Bartl, Daniel and Cheridito, Patrick and Kupper, Michael} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dc:language>eng</dc:language> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dcterms:isPartOf rdf:resource=""/> <dc:creator>Bartl, Daniel</dc:creator> <dcterms:title>Robust expected utility maximization with medial limits</dcterms:title> <dspace:isPartOfCollection rdf:resource=""/> <dc:creator>Kupper, Michael</dc:creator> <bibo:uri rdf:resource=""/> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:creator>Cheridito, Patrick</dc:creator> <dc:contributor>Kupper, Michael</dc:contributor> <dcterms:issued>2019-03</dcterms:issued> <dcterms:abstract xml:lang="eng">In this paper we study a robust expected utility maximization problem with random endowment in discrete time. We give conditions under which an optimal strategy exists and derive a dual representation for the optimal utility. Our approach is based on a general representation result for monotone convex functionals, a functional version of Choquet's capacitability theorem and medial limits. The novelty is that it works under nondominated model uncertainty without any assumptions of time-consistency. As applications, we discuss robust utility maximization problems with moment constraints, Wasserstein constraints and Wasserstein penalties.</dcterms:abstract> <dc:date rdf:datatype="">2019-01-08T10:48:03Z</dc:date> <dc:contributor>Bartl, Daniel</dc:contributor> <dcterms:available rdf:datatype="">2019-01-08T10:48:03Z</dcterms:available> <dc:contributor>Cheridito, Patrick</dc:contributor> </rdf:Description> </rdf:RDF>

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