Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/309514 
Year of Publication: 
2022
Citation: 
[Journal:] Mathematics and Financial Economics [ISSN:] 1862-9660 [Volume:] 16 [Issue:] 2 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2022 [Pages:] 367-397
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black–Scholes type financial market which may be incomplete. We impose a constraint on the admissible strategies that prevents a pure bond investment and we include uncertainty by means of ellipsoidal uncertainty sets for the drift. Our main results consist firstly in finding an explicit representation of the optimal strategy and the worst-case parameter, secondly in proving a minimax theorem that connects our robust utility maximization problem with the corresponding dual problem. Thirdly, we show that, as the degree of model uncertainty increases, the optimal strategy converges to a generalized uniform diversification strategy.
Subjects: 
Portfolio optimization
Drift uncertainty
Minimax theorems
Diversification
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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