摘要翻译:
研究了当效用函数在整条实线上有限时,鲁棒效用最大化最优策略的存在性。在这种情况下,一个微妙的问题是找到一个可接受策略的“好定义”,从而获得一个优化器。在适当的假设下,特别是在描述模型不确定性的概率集的时间一致性的条件下,我们证明了在所有局部鞅测度下,在具有有限广义熵的局部鞅测度下,在具有至少一个候选模型(概率)的条件下,在财富为上鞅的策略类中,得到了一个最优策略。
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英文标题:
《On Admissible Strategies in Robust Utility Maximization》
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作者:
Keita Owari
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最新提交年份:
2012
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分类信息:
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
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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
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英文摘要:
The existence of optimal strategy in robust utility maximization is addressed when the utility function is finite on the entire real line. A delicate problem in this case is to find a "good definition" of admissible strategies, so that an optimizer is obtained. Under suitable assumptions, especially a time-consistency property of the set of probabilities which describes the model uncertainty, we show that an optimal strategy is obtained in the class of strategies whose wealths are supermartingales under all local martingale measures having a finite generalized entropy with at least one of candidate models (probabilities).
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PDF链接:
https://arxiv.org/pdf/1109.5512