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Robust Optimal Investment in Discrete Time for Unbounded Utility Function

Laurence Carassus and Romain Blanchard

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Abstract: This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under non-dominated model uncertainty. We use a dynamic programming framework together with measurable selection arguments to prove that under mild integrability conditions, an optimal portfolio exists for an unbounded utility function defined on the half-real line.

New Economics Papers: this item is included in nep-upt
Date: 2016-09, Revised 2016-10
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