When the price processes of the financial assets are described by possibly unbounded semimartingales, the classical concept of admissible trading strategies may lead to a trivial utility maximizationâ€¦ (More)

We derive a closed form portfolio optimization rule for an investor who is diffident about mean return and volatility estimates, and has a CRRA utility. Confidence is here represented usingâ€¦ (More)

We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family P of possible physical measures. A robust notion NA1(P) of no-arbitrage ofâ€¦ (More)

For utility functions u finite valued on R, we prove a duality formula for utility maximization with random endowment in general semimartingale incomplete markets. The main novelty of the paper isâ€¦ (More)

We consider a stochastic financial incomplete market where the price processes are described by a vector-valued semimartingale that is possibly nonlocally bounded. We face the classical problem ofâ€¦ (More)

We introduce a distinction between model-based and model-free arbitrage and formulate an operational de nition for absence of model-free arbitrage in a nancial market, in terms of a set of minimalâ€¦ (More)

The problem of maximization of expected utility from terminal wealth relies on the definition of admissible strategies, the ones which the agents are allowed to trade in. It is known that theâ€¦ (More)

The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps [HK79]. In the context of optimal portfolio selectionâ€¦ (More)

This article studies convex duality in stochastic optimization over finite discrete-time. The first part of the paper gives general conditions that yield explicit expressions for the dual objectiveâ€¦ (More)