{"paper":{"title":"Asymptotics of robust utility maximization","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.PR"],"primary_cat":"math.PR","authors_text":"Thomas Knispel","submitted_at":"2012-03-06T13:16:12Z","abstract_excerpt":"For a stochastic factor model we maximize the long-term growth rate of robust expected power utility with parameter $\\lambda\\in(0,1)$. Using duality methods the problem is reformulated as an infinite time horizon, risk-sensitive control problem. Our results characterize the optimal growth rate, an optimal long-term trading strategy and an asymptotic worst-case model in terms of an ergodic Bellman equation. With these results we propose a duality approach to a \"robust large deviations\" criterion for optimal long-term investment."},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1203.1191","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}