2012/06/04 by Daniel Hernández–Hernández, Daniel Hernández-Hernández, Hernández-Hernández, Daniel +2
Economics, Econometrics and Finance · Social Sciences · #60G51 #91G10 #Economic theories and models #FOS: Economics and business #Insurance, Mortality, Demography, Risk Management #Portfolio Management (q-fin.PM) #Risk Management (q-fin.RM) #Stochastic processes and financial applications #msc:60G51 #msc:91G10 #q-fin.PM #q-fin.RM
paper · pdf · doi:10.48550/arxiv.1206.0715
24 pages. arXiv admin note: substantial text overlap with arXiv:1205.3827
arxiv created 2012/06/04 · openalex publication_date 2012/06/04 · arxiv updated 2012/06/05 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28
In this paper the robust utility maximization problem for a market model based on Lévy processes is analyzed. The interplay between the form of the utility function and the penalization function required to have a well posed problem is studied, and for a large class of utility functions it is proved that the dual problem is solvable as well as the existence of optimal solutions. The class of equivalent local martingale measures is characterized in terms of the parameters of the price process, and the connection with convex risk measures is also presented.