{
  "id": "math/0702727",
  "version": "v1",
  "published": "2007-02-24T04:57:29.000Z",
  "updated": "2007-02-24T04:57:29.000Z",
  "title": "On Robust Utility Maximization",
  "authors": [
    "Traian A Pirvu",
    "Ulrich G Haussmann"
  ],
  "categories": [
    "math.PR",
    "math.OC",
    "q-fin.PM"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2007-02-24T04:57:29.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "robust utility maximization",
      "brownian motion framework",
      "stopping times",
      "brownian filtration",
      "incomplete markets"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2007math......2727P"
    }
  }
}