Exponential utility maximization under model uncertainty for unbounded endowments
Exponential utility maximization under model uncertainty for unbounded endowments
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DOI：
10.1214/18-aap1428
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发表时间：
2016-10
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通讯作者：
Daniel Bartl
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作者：
Daniel Bartl
考虑离散时间下的鲁棒指数效用最大化问题：投资者在金融市场上动态投资，使其在最坏情况下的期望指数效用最大化。我们表明，对于任何可测量的随机禀赋（无论问题是有限的或没有）的最优策略存在，在鞅措施方面的对偶表示成立，并且该问题满足动态规划原理。
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of non-dominated probabilistic models of her endowment by dynamically investing in a financial market. We show that, for any measurable random endowment (regardless of whether the problem is finite or not) an optimal strategy exists, a dual representation in terms of martingale measures holds true, and that the problem satisfies the dynamic programming principle.