Geodesic
Robust portfolio selection under exponential preferences
Dariusz Zawisza1
1 Institute of Mathematics Jagiellonian University /Lojasiewicza 6 30-348 Krak/ow, Poland
Applicationes Mathematicae, Tome 37 (2010) no. 2, pp. 215-230

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

We consider an incomplete market with an untradable stochastic factor and a robust investment problem based on the CARA utility. We formulate it as a stochastic differential game problem, and use Hamilton–Jacobi–Bellman–Isaacs equations to derive an explicit representation of the robust optimal portfolio; the HJBI equation is transformed using a substitution of the Cole–Hopf type. Not only the pure investment problem, but also a problem of robust hedging is taken into account: an agent tries to hedge the risk associated with derivatives based on the stochastic factor.
DOI : 10.4064/am37-2-6
Keywords: consider incomplete market untradable stochastic factor robust investment problem based cara utility formulate stochastic differential game problem hamilton jacobi bellman isaacs equations derive explicit representation robust optimal portfolio hjbi equation transformed using substitution cole hopf type only pure investment problem problem robust hedging taken account agent tries hedge risk associated derivatives based stochastic factor

Dariusz Zawisza 1

1 Institute of Mathematics Jagiellonian University /Lojasiewicza 6 30-348 Krak/ow, Poland 
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Dariusz Zawisza. Robust portfolio selection
 under exponential preferences. Applicationes Mathematicae, Tome 37 (2010) no. 2, pp. 215-230. doi: 10.4064/am37-2-6

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