Robust Optimal Investment in Discrete Time for Unbounded Utility Function

Laurence Carassus and Romain Blanchard

Papers from arXiv.org

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.

Date: 2016-09, Revised 2017-10
New Economics Papers: this item is included in nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1609.09205

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