Geodesic
Dual robust utility maximization problem
Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 4 (2022), pp. 15-21

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We consider the robust utility maximization problem with a random endowment in an abstract financial market model. Assuming that the utility function is finite on the half-line, we derive the dual characterization of this problem. 
@article{VMUMM_2022_4_a1,
     author = {A. A. Farvazova},
     title = {Dual robust utility maximization problem},
     journal = {Vestnik Moskovskogo universiteta. Matematika, mehanika},
     pages = {15--21},
     publisher = {mathdoc},
     number = {4},
     year = {2022},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/VMUMM_2022_4_a1/}
}
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A. A. Farvazova. Dual robust utility maximization problem. Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 4 (2022), pp. 15-21. http://geodesic.mathdoc.fr/item/VMUMM_2022_4_a1/