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- W3099391567 abstract "In an equity market model with Knightian uncertainty regarding the relative risk and covariance structure of its assets, we characterize in several ways the highest return relative to the market that can be achieved using nonanticipative investment rules over a given time horizon, and under any admissible configuration of model parameters that might materialize. One characterization is in terms of the smallest positive supersolution to a fully nonlinear parabolic partial differential equation of the Hamilton--Jacobi--Bellman type. Under appropriate conditions, this smallest supersolution is the value function of an associated stochastic control problem, namely, the maximal probability with which an auxiliary multidimensional diffusion process, controlled in a manner which affects both its drift and covariance structures, stays in the interior of the positive orthant through the end of the time-horizon. This value function is also characterized in terms of a stochastic game, and can be used to generate an investment rule that realizes such best possible outperformance of the market." @default.
- W3099391567 created "2020-11-23" @default.
- W3099391567 creator A5060473555 @default.
- W3099391567 creator A5081307101 @default.
- W3099391567 date "2011-12-01" @default.
- W3099391567 modified "2023-09-26" @default.
- W3099391567 title "Optimal arbitrage under model uncertainty" @default.
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- W3099391567 doi "https://doi.org/10.1214/10-aap755" @default.
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