Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/310983 
Year of Publication: 
2023
Citation: 
[Journal:] Mathematics and Financial Economics [ISSN:] 1862-9660 [Volume:] 17 [Issue:] 3 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2023 [Pages:] 499-536
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued function that depends on time and path. We show that the robust utility maximization problem is in duality with a conjugate problem, and we study the existence of optimal portfolios for logarithmic, exponential and power utilities.
Subjects: 
Robust utility maximization
Robust market price of risk
Duality theory
Nonlinear continuous semimartingales
Semimartingale characteristics
Knightian uncertainty
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
Document Version: 
Published Version

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