ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES
ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES
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Publisher
Oxford: Blackwell Publishing Ltd
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Language
English
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Publisher
Oxford: Blackwell Publishing Ltd
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Scope and Contents
Contents
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...
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Full title
ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES
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Author / Creator
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Record Identifier
TN_cdi_proquest_journals_1987566522
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_1987566522
Other Identifiers
ISSN
0960-1627
E-ISSN
1467-9965
DOI
10.1111/mafi.12139
