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- W1993868621 abstract "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 uncertain volatility model. The uncertainty is specified by a family of semimartingales laws which is typically nondominated. We establish a duality theory for robust utility maximization in this framework and prove the existence of a probability which is least favorable." @default.
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- W1993868621 date "2013-01-01" @default.
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- W1993868621 title "Optimal Investment under Model Uncertainty in Nondominated Models" @default.
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- W1993868621 doi "https://doi.org/10.1137/100782528" @default.
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