Abstract
This paper investigates an investment/hedging problem in a multi-stock financial market with random appreciation rates. Only those strategies with bounded risks (i.e. they guarantee that a given claim will be replicated with an error not exceeding a given level) are considered. Moreover, admissible strategies are based upon observations of market prices rather than those of the appreciation rates. An optimal strategy, which does not depend on the current estimation of the appreciation rates of the stocks, is obtained for a model with a general utility function. The result is further shown to cover some important special cases, especially the so-called goal achieving problem.
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