Duality theory for robust utility maximisation
| dc.contributor.author | Bartl, Daniel | |
| dc.contributor.author | Kupper, Michael | |
| dc.contributor.author | Neufeld, Ariel | |
| dc.date.accessioned | 2021-07-07T09:46:43Z | |
| dc.date.available | 2021-07-07T09:46:43Z | |
| dc.date.issued | 2021 | eng |
| dc.description.abstract | In this paper, we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real line. Our results are inspired by – and can be seen as the robust analogues of – the seminal work of Kramkov and Schachermayer (Ann. Appl. Probab. 9:904–950, 1999). Namely, we show that if the set of attainable trading outcomes and the set of pricing measures satisfy a bipolar relation, then the utility maximisation problem is in duality with a conjugate problem. We further discuss the existence of optimal trading strategies. In particular, our general results include the case of logarithmic and power utility, and they apply to drift and volatility uncertainty. | eng |
| dc.description.version | published | de |
| dc.identifier.doi | 10.1007/s00780-021-00455-6 | eng |
| dc.identifier.ppn | 1968843019 | |
| dc.identifier.uri | https://kops.uni-konstanz.de/handle/123456789/54230 | |
| dc.language.iso | eng | eng |
| dc.rights | terms-of-use | |
| dc.rights.uri | https://rightsstatements.org/page/InC/1.0/ | |
| dc.subject.ddc | 510 | eng |
| dc.title | Duality theory for robust utility maximisation | eng |
| dc.type | JOURNAL_ARTICLE | de |
| dspace.entity.type | Publication | |
| kops.citation.bibtex | @article{Bartl2021Duali-54230,
title={Duality theory for robust utility maximisation},
year={2021},
doi={10.1007/s00780-021-00455-6},
number={3},
volume={25},
issn={0949-2984},
journal={Finance and Stochastics},
pages={469--503},
author={Bartl, Daniel and Kupper, Michael and Neufeld, Ariel}
} | |
| kops.citation.iso690 | BARTL, Daniel, Michael KUPPER, Ariel NEUFELD, 2021. Duality theory for robust utility maximisation. In: Finance and Stochastics. Springer. 2021, 25(3), S. 469-503. ISSN 0949-2984. eISSN 1432-1122. Verfügbar unter: doi: 10.1007/s00780-021-00455-6 | deu |
| kops.citation.iso690 | BARTL, Daniel, Michael KUPPER, Ariel NEUFELD, 2021. Duality theory for robust utility maximisation. In: Finance and Stochastics. Springer. 2021, 25(3), pp. 469-503. ISSN 0949-2984. eISSN 1432-1122. Available under: doi: 10.1007/s00780-021-00455-6 | eng |
| kops.citation.rdf | <rdf:RDF
xmlns:dcterms="http://purl.org/dc/terms/"
xmlns:dc="http://purl.org/dc/elements/1.1/"
xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
xmlns:bibo="http://purl.org/ontology/bibo/"
xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
xmlns:foaf="http://xmlns.com/foaf/0.1/"
xmlns:void="http://rdfs.org/ns/void#"
xmlns:xsd="http://www.w3.org/2001/XMLSchema#">
<rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/54230">
<dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
<bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/54230"/>
<dc:contributor>Neufeld, Ariel</dc:contributor>
<dc:creator>Kupper, Michael</dc:creator>
<foaf:homepage rdf:resource="http://localhost:8080/"/>
<dcterms:abstract xml:lang="eng">In this paper, we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real line. Our results are inspired by – and can be seen as the robust analogues of – the seminal work of Kramkov and Schachermayer (Ann. Appl. Probab. 9:904–950, 1999). Namely, we show that if the set of attainable trading outcomes and the set of pricing measures satisfy a bipolar relation, then the utility maximisation problem is in duality with a conjugate problem. We further discuss the existence of optimal trading strategies. In particular, our general results include the case of logarithmic and power utility, and they apply to drift and volatility uncertainty.</dcterms:abstract>
<dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
<dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
<dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/54230/1/Bartl_2-1b7ragr3yf0ua1.pdf"/>
<dcterms:title>Duality theory for robust utility maximisation</dcterms:title>
<dcterms:issued>2021</dcterms:issued>
<dc:contributor>Kupper, Michael</dc:contributor>
<dc:creator>Bartl, Daniel</dc:creator>
<dc:contributor>Bartl, Daniel</dc:contributor>
<dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime"
>2021-07-07T09:46:43Z</dcterms:available>
<dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/54230/1/Bartl_2-1b7ragr3yf0ua1.pdf"/>
<dc:rights>terms-of-use</dc:rights>
<dc:creator>Neufeld, Ariel</dc:creator>
<void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
<dc:language>eng</dc:language>
<dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime"
>2021-07-07T09:46:43Z</dc:date>
</rdf:Description>
</rdf:RDF> | |
| kops.description.openAccess | openaccessgreen | |
| kops.flag.isPeerReviewed | true | eng |
| kops.flag.knbibliography | true | |
| kops.identifier.nbn | urn:nbn:de:bsz:352-2-1b7ragr3yf0ua1 | |
| kops.sourcefield | Finance and Stochastics. Springer. 2021, <b>25</b>(3), S. 469-503. ISSN 0949-2984. eISSN 1432-1122. Verfügbar unter: doi: 10.1007/s00780-021-00455-6 | deu |
| kops.sourcefield.plain | Finance and Stochastics. Springer. 2021, 25(3), S. 469-503. ISSN 0949-2984. eISSN 1432-1122. Verfügbar unter: doi: 10.1007/s00780-021-00455-6 | deu |
| kops.sourcefield.plain | Finance and Stochastics. Springer. 2021, 25(3), pp. 469-503. ISSN 0949-2984. eISSN 1432-1122. Available under: doi: 10.1007/s00780-021-00455-6 | eng |
| relation.isAuthorOfPublication | 81426f93-23ce-42b1-bd36-b841895e2b24 | |
| relation.isAuthorOfPublication | 44069e94-6553-4b40-a903-775acc1db377 | |
| relation.isAuthorOfPublication.latestForDiscovery | 81426f93-23ce-42b1-bd36-b841895e2b24 | |
| source.bibliographicInfo.fromPage | 469 | |
| source.bibliographicInfo.issue | 3 | |
| source.bibliographicInfo.toPage | 503 | |
| source.bibliographicInfo.volume | 25 | |
| source.identifier.eissn | 1432-1122 | eng |
| source.identifier.issn | 0949-2984 | eng |
| source.periodicalTitle | Finance and Stochastics | eng |
| source.publisher | Springer | eng |
Dateien
Originalbündel
1 - 1 von 1
Vorschaubild nicht verfügbar
- Name:
- Bartl_2-1b7ragr3yf0ua1.pdf
- Größe:
- 550.8 KB
- Format:
- Adobe Portable Document Format
