Duality theory for robust utility maximisation
In this paper, we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real line. Our results are inspired by – and can be seen as the robust analogues of – the seminal work of Kramkov and Schachermayer (Ann. Appl. Prob...
Main Authors: | Bartl, Daniel, Kupper, Michael, Neufeld, Ariel |
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Other Authors: | School of Physical and Mathematical Sciences |
Format: | Journal Article |
Language: | English |
Published: |
2022
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Subjects: | |
Online Access: | https://hdl.handle.net/10356/162314 |
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