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Robust Exponential Hedging in a Brownian Setting
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Abstract
This paper studies the robust exponential hedging in a Brownian factor model, giving a solvable example using a PDE argument. The dual problem is reduced to a standard stochastic control problem, of which the HJB equation admits a classical solution. Then an optimal strategy will be expressed in terms of the solution to the HJB equation.Robust Utility Maximization, Stochastic Control, Duality