arXiv Open Access 2015

Robust Utility Maximization with Lévy Processes

Ariel Neufeld Marcel Nutz

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Abstrak

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.

Topik & Kata Kunci

q-fin.MF math.OC q-fin.PM

Penulis (2)

Ariel Neufeld

Marcel Nutz

Format Sitasi

APA MLA BibTeX

Neufeld, A., Nutz, M. (2015). Robust Utility Maximization with Lévy Processes. https://arxiv.org/abs/1502.05920

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Informasi Jurnal

Tahun Terbit: 2015
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓