Robust utility maximization of terminal wealth with drift and volatility uncertainty
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DOI: 10.1080/02331934.2020.1774586
Abstract: ABSTRACT We give explicit solutions for utility maximization of terminal wealth problem in the presence of Knightian uncertainty in continuous time . We assume there is uncertainty on both drift and volatility of the underlying… read more here.
Keywords: uncertainty; utility; drift volatility; maximization terminal ... See more keywords