Open AccessDuality theory under model uncertainty for non-concave utility functions
Author(s) -
O. O. Kharytonova
Publication year - 2019
Publication title -
vìsnik. serìâ fìziko-matematičnì nauki/vìsnik kiì̈vsʹkogo nacìonalʹnogo unìversitetu ìmenì tarasa ševčenka. serìâ fìziko-matematičnì nauki
Language(s) - English
Resource type - Journals
eISSN - 2218-2055
pISSN - 1812-5409
DOI - 10.17721/1812-5409.2019/4.6
Subject(s) - expected utility hypothesis , utility maximization , duality (order theory) , probabilistic logic , mathematical economics , terminal (telecommunication) , subjective expected utility , isoelastic utility , concave function , maximization , von neumann–morgenstern utility theorem , utility maximization problem , mathematics , mathematical optimization , economics , discrete mathematics , computer science , regular polygon , statistics , geometry , telecommunications
The main goal for this paper is to study the robust utility maximization functional,i.e. sup_{X\in\Xi(x)} inf_{Q\in\mathsf{Q}} E_Q [U(X_T)]; of the terminal wealth in complete market models, when the investor is uncertain about the underlying probabilistic model and averse against both risk and model uncertainty. In the previous literature, this problem was studied for strictly concave utility functions and we extended existing results for non-concave utility functions by considering their concavization.