English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

In this paper we present a duality theory for the robust utility maximisationproblem in continuous time for utility functions defined on the positive realaxis. Our results are inspired by -- and can be seen as the robust analogues of-- the seminal work of Kramkov & Schachermayer [18]. Namely, we show that ifthe set of attainable trading outcomes and the set of pricing measures satisfya bipolar relation, then the utility maximisation problem is in duality with aconjugate problem. We further discuss the existence of optimal tradingstrategies. In particular, our general results include the case of logarithmicand power utility, and they apply to drift and volatility uncertainty.

Duality Theory for Robust Utility Maximisation