Mathematics

Dual robust utility maximization problem

A. A. Farvazova

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: We consider the robust utility maximization problem with a random endowment in an abstract financial market model. Assuming that the utility function is finite on the half-line, we derive the dual characterization of this problem.

Key words: utility maximization, dual problem, robust utility, Orlicz space, Fenchel duality, $f$-divergence, random endowment.

UDC: 519.21

Received: 05.02.2021

 English version: Moscow University Mathematics Bulletin, Moscow University Mеchanics Bulletin, 2022, 77:4, 176–182

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