The path player game |
| |
Authors: | Justo Puerto Anita Schöbel Silvia Schwarze |
| |
Affiliation: | (1) Department of Mathematics, TU Berlin, Strasse des 17. Juni 136, 10623 Berlin, Germany |
| |
Abstract: | We give an explicit PDE characterization for the solution of the problemof maximizing the utility of both terminal wealth and intertemporal consumption undermodel uncertainty. The underlying market model consists of a risky asset, whosevolatility and long-term trend are driven by an external stochastic factor process. Therobust utility functional is defined in terms of a HARA utility function with risk aversionparameter 0 < α < 1 and a dynamically consistent coherent risk measure, whichallows for model uncertainty in the distributions of both the asset price dynamics andthe factor process. Ourmethod combines recent results by Wittmüß (Robust optimizationof consumption with random endowment, 2006) on the duality theory of robustoptimization of consumption with a stochastic control approach to the dual problemof determining a ‘worst-case martingale measure’. |
| |
Keywords: | Optimal consumption Robust control Model uncertainty Incomplete markets Stochastic volatility Coherent risk measures Convex duality |
本文献已被 SpringerLink 等数据库收录! |
|