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The paper studies the robust maximization of utility from terminal wealth in a diffusion financial market model. The underlying model consists of a tradable risky asset whose price is described by a diffusion process with misspecified trend and volatility coefficients, and a non-tradable asset with a known parameter. The robust functional is defined in terms of a utility function. An explicit characterization of the solution is given via the solution of the Hamilton–Jacobi–Bellman–Isaacs (HJBI) equation. 相似文献
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