- Working Paper
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 L\'evy 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. Show more
Journal / seriesarXiv
Pages / Article No.
Organisational unit03658 - Schweizer, Martin / Schweizer, Martin
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Is previous version of: http://hdl.handle.net/20.500.11850/235601
NotesSubmitted on 20 February 2015.
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