{
  "id": "1307.4813",
  "version": "v1",
  "published": "2013-07-18T01:54:44.000Z",
  "updated": "2013-07-18T01:54:44.000Z",
  "title": "On utility maximization with derivatives under model uncertainty",
  "authors": [
    "Erhan Bayraktar",
    "Zhou Zhou"
  ],
  "comment": "Robust utility maximization, model uncertainty, semi-static hedging",
  "categories": [
    "math.PR",
    "q-fin.PM"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2013-07-18T01:54:44.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "model uncertainty",
      "derivatives",
      "robust utility maximization",
      "duality result",
      "fixed probability measure"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2013arXiv1307.4813B"
    }
  }
}