英文标题：
《On utility maximization with derivatives under model uncertainty》
---
作者：
Erhan Bayraktar and Zhou Zhou
---
最新提交年份：
2013
---
英文摘要：
We consider the robust utility maximization using a static holding in derivatives and a dynamic holding in the stock. There is no fixed model for the price of the stock but we consider a set of probability measures (models) which are not necessarily dominated by a fixed probability measure. By assuming that the set of physical probability measures is convex and weakly compact, we obtain the duality result and the existence of an optimizer.
---
中文摘要：
我们考虑使用静态持有衍生品和动态持有股票的稳健效用最大化。股票价格没有固定的模型，但我们考虑一组概率测度（模型），它们不一定由固定的概率测度控制。通过假设物理概率测度集是凸的和弱紧的，我们得到了对偶结果和优化器的存在性。
---
分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--

---
PDF下载：
-->