Duality theory under model uncertainty for non-concave utility functions | Zendy

O. O. Kharytonova | Zendy

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Duality theory under model uncertainty for non-concave utility functions

Author(s) -

O. O. Kharytonova

Publication year - 2019

Publication title -

bulletin of taras shevchenko national university of kyiv series physics and mathematics

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.

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