Robust Optimal Investment in Discrete Time for Unbounded Utility Function
Laurence Carassus and
Papers from arXiv.org
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
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1609.09205 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:arx:papers:1609.09205
Access Statistics for this paper
More papers in Papers from arXiv.org
Series data maintained by arXiv administrators ().