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• W3200467901 abstract "This paper studies robust decision problems in a rough environment that is described by Volterra processes. Various alternative dominated models are introduced to reflect decision makers' concerns regarding model uncertainty. Using a functional Itô calculus approach, we characterize the robust optimal strategy by a path-dependent Hamilton–Jacobi–Bellman–Isaacs equation. Explicit strategies are derived for robust power and exponential utility maximization with the Volterra Heston model and an example from a robust linear-quadratic control problem. Numerical study shows that it becomes harder to distinguish two probability measures in a rougher environment. Robust optimal investment strategies can reduce losses from ignoring volatility roughness and model uncertainty and can improve the stability of portfolio performance." @default.
• W3200467901 created "2021-09-27" @default.
• W3200467901 creator A5072737565 @default.
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• W3200467901 date "2021-09-14" @default.
• W3200467901 modified "2023-10-16" @default.
• W3200467901 title "Robust control in a rough environment" @default.
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• W3200467901 doi "https://doi.org/10.1080/14697688.2021.1965193" @default.
• W3200467901 hasPublicationYear "2021" @default.
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