Traian A Pirvu, Ulrich G Haussmann
Published 2007-02-24Version 1
This paper studies the problem of optimal investment in incomplete markets, robust with respect to stopping times. We work on a Brownian motion framework and the stopping times are adapted to the Brownian filtration. Robustness can only be achieved for logartihmic utility, otherwise a cashflow should be added to the investor s wealth. The cashflow can be decomposed into the sum of an increasing and a decreasing process. The last one can be viewed as consumption. The first one is an insurance premium the agent has to pay.
On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
Optimal investment with random endowments in incomplete markets
On the dual problem of utility maximization in incomplete markets
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