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dc.contributor.authorPossamaï, Dylan
dc.contributor.authorZhou, Chao
dc.contributor.authorMatoussi, Anis
HAL ID: 18428
dc.date.accessioned2014-01-08T09:04:08Z
dc.date.available2014-01-08T09:04:08Z
dc.date.issued2015
dc.identifier.issn0960-1627
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12359
dc.language.isoenen
dc.subjectquadratic growth
dc.subjectrobust utility maximization
dc.subjectvolatility uncertainty
dc.subjectsecond-order backward stochastic differential equation
dc.subject.ddc519en
dc.titleRobust Utility Maximization in Non-Dominated Models with 2BSDE: The Uncertain Volatility Model
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversité du Maine and CMAP, Ecole Polytechnique;France
dc.description.abstractenThe problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models (probability measures) considered here is nondominated. We propose studying this problem in the framework of second-order backward stochastic differential equations (2BSDEs for short) with quadratic growth generators. We show for exponential, power, and logarithmic utilities that the value function of the problem can be written as the initial value of a particular 2BSDE and prove existence of an optimal strategy. Finally, several examples which shed more light on the problem and its links with the classical utility maximization one are provided. In particular, we show that in some cases, the upper bound of the volatility interval plays a central role, exactly as in the option pricing problem with uncertain volatility models.
dc.relation.isversionofjnlnameMathematical Finance
dc.relation.isversionofjnlvol25
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2015
dc.relation.isversionofjnlpages258-287
dc.relation.isversionofdoihttp://dx.doi.org/10.1111/mafi.12031
dc.relation.isversionofjnlpublisherBlackwell
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-09-21T13:53:49Z


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