The Uniform Diversification Strategy is Optimal for Expected Utility Maximization under High Model Ambiguity

In a one-period model with $d$ risky assets, we investigate an expected utility maximization problem when there is ambiguity on the probability $P$ modeled by a Wasserstein ball of radius $k$ around $P$.  We show that when $k$ goes to infinity, the optimal solutions tend to the (rescaled) uniform diversification strategy.