A Stochastic Control Approach to a Robust Utility Maximization Problem

2007 ◽  
pp. 125-151 ◽  
Author(s):  
Giuliana Bordigoni ◽  
Anis Matoussi ◽  
Martin Schweizer
Keyword(s):  
Stochastic Control ◽  
Utility Maximization ◽  
Maximization Problem ◽  
Control Approach ◽  
Robust Utility Maximization ◽  
Utility Maximization Problem

scholarly journals A stochastic control approach to managed futures portfolios

2019 ◽  
Vol 06 (01) ◽  
pp. 1950005 ◽  
Author(s):  
Tim Leung ◽  
Raphael Yan
Keyword(s):  
Stochastic Control ◽  
Utility Maximization ◽  
Commodity Prices ◽  
Trading Strategies ◽  
Maximization Problem ◽  
Convenience Yield ◽  
Yield Model ◽  
Managed Futures ◽  
Control Approach ◽  
Utility Maximization Problem

We study a stochastic control approach to managed futures portfolios. Building on the (Schwartz, 1997) stochastic convenience yield model for commodity prices, we formulate a utility maximization problem for dynamically trading a single-maturity futures or multiple futures contracts over a finite horizon. By analyzing the associated Hamilton–Jacobi–Bellman (HJB) equation, we solve the investor’s utility maximization problem explicitly and derive the optimal dynamic trading strategies in closed form. We provide numerical examples and illustrate the optimal trading strategies using WTI crude oil futures data.

scholarly journals Dual Formulation of the Utility Maximization Problem Under Transaction Costs

2001 ◽  
Vol 11 (4) ◽  
pp. 1353-1383 ◽  
Author(s):  
Griselda Deelstra ◽  
Huyên Pham ◽  
Nizar Touzi
Keyword(s):  
Transaction Costs ◽  
Utility Maximization ◽  
Maximization Problem ◽  
Dual Formulation ◽  
Utility Maximization Problem

scholarly journals ROBUST EXPONENTIAL HEDGING AND INDIFFERENCE VALUATION

2010 ◽  
Vol 13 (07) ◽  
pp. 1075-1101 ◽  
Author(s):  
KEITA OWARI
Keyword(s):  
Dual Problem ◽  
Maximization Problem ◽  
Probability Measures ◽  
Primal Problem ◽  
Robust Version ◽  
Indifference Valuation ◽  
Robust Utility Maximization ◽  
Indifference Price ◽  
Utility Indifference ◽  
Utility Maximization Problem

We discuss the problem of exponential hedging in the presence of model uncertainty expressed by a set of probability measures. This is a robust utility maximization problem with a contingent claim. We first consider the dual problem which is the minimization of penalized relative entropy over a product set of probability measures, showing the existence and variational characterizations of the solution. These results are applied to the primal problem. Then we consider the robust version of exponential utility indifference valuation, giving the representation of indifference price using a duality result.

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