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Some new perspectives on robust utility maximization

17 October 2019 at 12:00 PM - 2:00 PM

Room 207, Campus on Viale Romania, 32

Speaker: Miklós Rásonyi, MTA Alfréd Rényi Institute

Abstract

We present a novel approach to model uncertainty where, instead of a set of prior probabilities, we consider a parametrized family of models (where the parameter set may well be inifinite-dimensional).We demonstrate the usefulness of such a setting for utility maximization in frictionless discrete-time models as well as in continuous-time in the presence of proportional transaction costs.

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