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Robust utility maximization with nonlinear continuous semimartingales

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  • David Criens
  • Lars Niemann

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.

Suggested Citation

  • David Criens & Lars Niemann, 2022. "Robust utility maximization with nonlinear continuous semimartingales," Papers 2206.14015, arXiv.org, revised Aug 2023.
    • Handle: RePEc:arx:papers:2206.14015
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    File URL: http://arxiv.org/pdf/2206.14015
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    References listed on IDEAS

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    1. David Criens, 2018. "No Arbitrage in Continuous Financial Markets," Papers 1809.09588, arXiv.org, revised Feb 2020.
    2. Daniel Bartl & Michael Kupper & Ariel Neufeld, 2020. "Duality Theory for Robust Utility Maximisation," Papers 2007.08376, arXiv.org, revised Jun 2021.
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    Cited by:

    1. Criens, David & Niemann, Lars, 2024. "A class of multidimensional nonlinear diffusions with the Feller property," Statistics & Probability Letters, Elsevier, vol. 208(C).
    2. Criens, David & Niemann, Lars, 2024. "Markov selections and Feller properties of nonlinear diffusions," Stochastic Processes and their Applications, Elsevier, vol. 173(C).

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