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Robust expected utility maximization with medial limits

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2019

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Cheridito, Patrick

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https://doi.org/10.1016/j.jmaa.2018.11.012
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Journal of Mathematical Analysis and Applications. 2019, 471(1-2), pp. 752-775. ISSN 0022-247X. eISSN 1096-0813. Available under: doi: 10.1016/j.jmaa.2018.11.012

Zusammenfassung

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.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
510 Mathematik

Schlagwörter

Robust expected utility maximization, Convex duality, Choquet capacitability, Medial limit, Moment constraints, Wasserstein distance

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ISO 690BARTL, Daniel, Patrick CHERIDITO, Michael KUPPER, 2019. Robust expected utility maximization with medial limits. In: Journal of Mathematical Analysis and Applications. 2019, 471(1-2), pp. 752-775. ISSN 0022-247X. eISSN 1096-0813. Available under: doi: 10.1016/j.jmaa.2018.11.012
BibTex
@article{Bartl2019-03Robus-44441,
  year={2019},
  doi={10.1016/j.jmaa.2018.11.012},
  title={Robust expected utility maximization with medial limits},
  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}
}
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