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arxiv: 1307.4813 · v1 · pith:R65ADWBYnew · submitted 2013-07-18 · 🧮 math.PR · q-fin.PM

On utility maximization with derivatives under model uncertainty

classification 🧮 math.PR q-fin.PM
keywords probabilityconsiderderivativesfixedholdingmaximizationmeasuresmodel
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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.

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