Dynamic Robust Duality in Utility Maximization
详细信息 查看全文
- 作者：Bernt Øksendal ; Agnès Sulem
- 关键词：Robust portfolio optimization ; Robust duality ; Dynamic duality method ; Stochastic maximum principle ; Backward stochastic differential equation ; Itô ; Lévy market
- 刊名：Applied Mathematics & Optimization
- 出版年：2017
- 出版时间：February 2017
- 年：2017
- 卷：75
- 期：1
- 页码：117-147
- 全文大小：
- 刊物类别：Mathematics and Statistics
- 刊物主题：Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Phy
- 出版者：Springer US
- ISSN：1432-0606
- 卷排序：75
文摘
A celebrated financial application of convex duality theory gives an explicit relation between the following two quantities:(i)The optimal terminal wealth \(X^*(T) : = X_{\varphi ^*}(T)\) of the problem to maximize the expected U-utility of the terminal wealth \(X_{\varphi }(T)\) generated by admissible portfolios \(\varphi (t); 0 \le t \le T\) in a market with the risky asset price process modeled as a semimartingale;