Tevzadze, Revaz; Toronjadze, Teimuraz; Uzunashvili, Tamaz - In: Finance and Stochastics 17 (2013) 3, pp. 535-563
The paper studies the robust maximization of utility from terminal wealth in a diffusion financial market model. The underlying model consists of a tradable risky asset whose price is described by a diffusion process with misspecified trend and volatility coefficients, and a non-tradable asset...