ASYMPTOTICS OF ROBUST UTILITY MAXIMIZATION

• 成果类型: Article
• 署名作者: Knispel, Thomas
• 署名单位: Leibniz University Hannover
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/11-AAP764
• 发表日期: 2012
• 页码: 172-212
• 关键词: RISK-SENSITIVE CONTROL; Optimal investment; large deviations; Bellman equations; expected utility; ergodic control; portfolio

摘要

For a stochastic factor model we maximize the long-term growth rate of robust expected power utility with parameter lambda epsilon (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.