Utility functions and optimal investment in non-dominated models

Laurent Denis (1) , Magali Kervarec (1)

1 Département de Mathématiques (Evry)

In this paper, we provide a framework in which we can set the problem of maximization of utility function, taking into account the model uncertainty and encompassing the case of the UVM model. The uncertainty is specified by a family of orthogonal martingale laws which is typically non-dominated. We establish a duality theory for robust utility maximization in this framework.

Domaines: Probabilités [math.PR]

Laurent Denis, Magali Kervarec. Utility functions and optimal investment in non-dominated models. 2007. ⟨hal-00371215⟩