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dc.contributor.author
Neufeld, Ariel
dc.contributor.author
Nutz, Marcel
dc.date.accessioned
2017-06-11T23:11:39Z
dc.date.available
2017-06-11T23:11:39Z
dc.date.issued
2015
dc.identifier.uri
http://hdl.handle.net/20.500.11850/110584
dc.description.abstract
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.
dc.language.iso
en
dc.publisher
Cornell University
dc.title
Robust Utility Maximization with Lévy Processes
dc.type
Working Paper
ethz.journal.title
arXiv
ethz.pages.start
arXiv:1502.05920
ethz.size
31 p.
ethz.notes
Submitted on 20 February 2015.
ethz.publication.place
Ithaca, NY
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.identifier.url
http://arxiv.org/abs/1502.05920
ethz.relation.isPreviousVersionOf
handle/20.500.11850/235601
ethz.date.deposited
2017-06-11T23:11:43Z
ethz.source
ECIT
ethz.identifier.importid
imp593653f6ce15d87058
ethz.ecitpid
pub:171822
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-12T23:56:28Z
ethz.rosetta.lastUpdated
2018-11-02T21:38:02Z
ethz.rosetta.exportRequired
true
ethz.rosetta.versionExported
true
ethz.COinS
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