This paper resolves a question proposed in Kardaras and Robertson (  arXiv:1005.3454 ) how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying process is unavailable. Among an appropriate class of admissible covariance structures, we characterize the optimal trading strategy in terms of a generalized version of a principal half-eigenvalue of a Pucci extremal operator and its associated eigenfunction  .
This paper resolves a question proposed in Kardaras and Robertson ( 2012) arXiv:1005.3454 : how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying assets is unavailable. Among an appropriate class of admissible covariance structures, we characterize the optimal trading strategy in terms of a generalized version of the principal eigenvalue of a fully nonlinear elliptic operator and its associated eigenfunction , by slightly restricting the collection of non-dominated probability measures .
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2012)
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process
assets
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a principal half-eigenvalue of a Pucci extremal
the principal eigenvalue of a fully nonlinear elliptic
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, by slightly restricting the collection of non-dominated probability measures