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Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Finance and Stochastics [ISSN:] 1432-1122 [Volume:] 28 [Issue:] 4 [Publisher:] Springer Berlin Heidelberg [Place:] Berlin/Heidelberg [Year:] 2024 [Pages:] 965-997
Verlag: 
Springer Berlin Heidelberg, Berlin/Heidelberg
Zusammenfassung: 
Abstract Dybvig ( 1988a , 1988b ) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution (“cost-efficient payoff”). In the presence of ambiguity, the distribution of a payoff is, however, no longer known with certainty. We study the problem of finding the cheapest possible payoff whose worst-case distribution stochastically dominates a given target distribution (“robust cost-efficient payoff”) and determine solutions under certain conditions. We study the link between “robust cost-efficiency” and the maxmin expected utility setting of Gilboa and Schmeidler ( 1989 ), as well as more generally in a possibly nonexpected robust utility setting. Specifically, we show that solutions to maxmin robust expected utility are necessarily robust cost-efficient. We illustrate our study with examples involving uncertainty both on the drift and on the volatility of the risky asset.
Schlagwörter: 
Cost-efficient payoffs
Model ambiguity
Maxmin utility
Robust preferences
Drift and volatility uncertainty
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C02;C63;D80
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