This paper studies a robust portfolio optimization problem under a multi-factor volatility model. We derive optimal strategies analytically under the worst-case scenario with or without derivative trading in complete and incomplete markets and for assets with jump risk. We extend our study to the case with correlated volatility factors and propose an analytical approximation for the robust optimal strategy. To illustrate the effects of ambiguity, we compare our optimal robust strategy with the strategies that ignore the information of uncertainty, and provide the welfare analysis. We also discuss how derivative trading affects the optimal strategies. Finally, numerical experiments are provided to demonstrate the behavior of the optimal strategy and the utility loss.

中文翻译：

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具有多因素随机波动率的稳健投资组合优化

本文研究了多因素波动率模型下的稳健投资组合优化问题。我们在最坏的情况下分析得出最佳策略，在完整和不完整市场中有或没有衍生品交易以及具有跳跃风险的资产。我们将我们的研究扩展到具有相关波动率因素的情况，并提出了稳健最优策略的分析近似值。为了说明歧义的影响，我们将我们的最优稳健策略与忽略不确定性信息的策略进行比较，并提供福利分析。我们还讨论了衍生品交易如何影响最优策略。最后，提供了数值实验来证明最优策略的行为和效用损失。