Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25044
Authors: 
Schied, Alexander
Wu, Ching-Tang
Year of Publication: 
2005
Series/Report no.: 
SFB 649 discussion paper 2005,025
Abstract: 
Robust utility functionals arise as numerical representations of investor preferences, when the investor is uncertain about the underlying probabilistic model and averse against both risk and model uncertainty. In this paper, we study the the duality theory for the problem of maximizing the robust utility of the terminal wealth in a general incomplete market model. We also allow for very general sets of prior models. In particular, we do not assume that that all prior models are equivalent to each other, which allows us to handle many economically meaningful robust utility functionals such as those defined by AVaR , concave distortions, or convex capacities. We also show that dropping the equivalence of prior models may lead to new effects such as the existence of arbitrage strategies under the least favorable model.
Document Type: 
Working Paper

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