Robust Time-consistent Dynamic Utility Maximization under Stochastic Volatility

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户:NoskyFox
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  We consider a financial market with a risk-free asset and a risky asset,with the latter's price following a diffusion with stochastic volatility.Under the robust time-consistent dynamic utility introduced by Bion-Nadal and Delbaen,utilizing time-consistency and g-expectation,a closed-form optimal strategy is obtained for the incomplete market with either full uncertainty or partial uncertainty.
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