Optimal Investment Strategy for a-Robust Utility Maximization Problem

• 成果类型: Article
• 署名作者: Yang, Zhou; Li, Danping; Zeng, Yan; Liu, Guanting
• 署名单位: South China Normal University; East China Normal University; Sun Yat Sen University; University of New South Wales Sydney
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2023.0076
• 发表日期: 2025
• 关键词: lifetime portfolio selection; ambiguity; CHOICE; optimization; reinsurance; uncertainty; MODEL

摘要

In reality, investors are uncertain about the dynamics of risky asset returns. Therefore, investors prefer to make robust investment decisions. In this paper, we propose an alpha-robust utility maximization problem under uncertain parameters. The investor is allowed to invest in a financial market consisting of a risk -free asset and a risky asset. The uncertainty about the expected return rate is parameterized by a nonempty set. Different from most existing literature on robust utility maximization problems where investors are generally assumed to be extremely ambiguity averse because they tend to consider only expected utility in the worst -case scenario, we pay attention to the investors who are not only ambiguity averse but also ambiguity seeking. Under power utility, we provide the implicit function representations for the precommitted strategy, equilibrium strategy of the open -loop type, and equilibrium strategy of the closed -loop type. Some properties about the optimal trading strategies, the best -case and worst -case parameters under three different kinds of strategies, are provided.