Table of Links Abstract and 1. Introduction Abstract and 1. Introduction 2. Financial Market Model and Worst-Case Optimization Problem 2. Financial Market Model and Worst-Case Optimization Problem 3. Solution to the Post-Crash Problem 3. Solution to the Post-Crash Problem 4. Solution to the Pre-Crash Problem 4. Solution to the Pre-Crash Problem 5. A BSDE Characterization of Indifferences Strategies 5. A BSDE Characterization of Indifferences Strategies 6. The Markovian Case 6. The Markovian Case 7. Numerical Experiments 7. Numerical Experiments Acknowledgments and References Acknowledgments and References Appendix A. Proofs from Section 3 Appendix A. Proofs from Section 3 Appendix B. Proofs of BASDE Results from Section 5 Appendix B. Proofs of BASDE Results from Section 5 Appendix C. Proofs of (CIR) Results from Section 6 Appendix C. Proofs of (CIR) Results from Section 6 3. Solution to the Post-Crash Problem As is common in the worst-case optimal investment literature, the above problem can be solved by first considering for each crash scenario τ the post-crash problem starting at time τ , which is a classical portfolio optimization problem, compare e.g. Korn and Wilmott [39], Seifried [49]. Using the explicit representation of the objective from Lemma 6, the following result is immediate her We moreover need the following useful property of the post-crash optimal strategy later when proving optimality results; the proof can be found in Appendix A. Authors:
(1) Sascha Desmettre;
(2) Sebastian Merkel;
(3) Annalena Mickel;
(4) Alexander Steinicke. Authors: Authors: (1) Sascha Desmettre; (2) Sebastian Merkel; (3) Annalena Mickel; (4) Alexander Steinicke. This paper is available on arxiv under CC BY 4.0 DEED license. This paper is available on arxiv under CC BY 4.0 DEED license. available on arxiv [3] See Stokey et.al., Recursive Methods in Economic Dynamics, Thm. 3

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