Duality theory under model uncertainty for non-concave utility functions
DOI:
https://doi.org/10.17721/1812-5409.2019/4.6Abstract
The main goal for this paper is to study the robust utility maximization functional,
i.e. sup_{X\in\Xi(x)} inf_{Q\in\mathsf{Q}} E_Q [U(X_T)]; of the terminal wealth in complete market models, when the investor is uncertain about the underlying probabilistic model and averse against both risk and model uncertainty. In the previous literature, this problem was studied for strictly concave utility functions and we extended existing results for non-concave utility functions by considering their concavization.
Key words: robust utility maximization functional, minimax problem, concavization.
Pages of the article in the issue: 50 - 56
Language of the article: English
References
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Reichlin, Christian Rochus August: "Non-concave utility maximization: optimal investment, stability and applications Doctoral Thesis, 2012.
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