Robust Utility Maximization with Lévy Processes
Abstract
We study a robust portfolio optimization problem under model uncertainty for an investor with logarithmic or power utility. The uncertainty is specified by a set of possible Lévy triplets; that is, possible instantaneous drift, volatility and jump characteristics of the price process. We show that an optimal investment strategy exists and compute it in semi-closed form. Moreover, we provide a saddle point analysis describing a worst-case model.
- Publication:
-
arXiv e-prints
- Pub Date:
- February 2015
- DOI:
- 10.48550/arXiv.1502.05920
- arXiv:
- arXiv:1502.05920
- Bibcode:
- 2015arXiv150205920N
- Keywords:
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- Quantitative Finance - Mathematical Finance;
- Mathematics - Optimization and Control;
- Quantitative Finance - Portfolio Management;
- 91B28;
- 93E20;
- 60G51
- E-Print:
- Forthcoming in 'Mathematical Finance'