We incorporate model uncertainty into a quadratic portfolio optimization framework. We consider an incomplete continuous time market with a non-tradable stochastic factor. Two stochastic game problems are formulated and solved using Hamilton-Jacobi-Bellman-Isaacs equations. The proof of existence and uniqueness of a solution to the resulting semilinear PDE is also provided. The latter can be used to extend many portfolio optimization results.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am39-4-3,
author = {Dariusz Zawisza},
title = {Target achieving portfolio under model misspecification: quadratic optimization framework},
journal = {Applicationes Mathematicae},
volume = {39},
year = {2012},
pages = {425-443},
zbl = {1254.91717},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am39-4-3}
}
Dariusz Zawisza. Target achieving portfolio under model misspecification: quadratic optimization framework. Applicationes Mathematicae, Tome 39 (2012) pp. 425-443. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am39-4-3/