Robust Utility Maximization with L\'evy Processes
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.
Year of publication: |
2015-02
|
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Authors: | Neufeld, Ariel ; Nutz, Marcel |
Institutions: | arXiv.org |
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