{
  "id": "1203.1191",
  "version": "v1",
  "published": "2012-03-06T13:16:12.000Z",
  "updated": "2012-03-06T13:16:12.000Z",
  "title": "Asymptotics of robust utility maximization",
  "authors": [
    "Thomas Knispel"
  ],
  "comment": "Published in at http://dx.doi.org/10.1214/11-AAP764 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)",
  "journal": "Annals of Applied Probability 2012, Vol. 22, No. 1, 172-212",
  "doi": "10.1214/11-AAP764",
  "categories": [
    "math.PR",
    "q-fin.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2012-03-06T13:16:12.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "robust utility maximization",
      "stochastic factor model",
      "optimal long-term investment",
      "robust large deviations",
      "infinite time horizon"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2012arXiv1203.1191K"
    }
  }
}