Multiple-priors optimal investment in discrete time for unbounded utility function

Romain Blanchard and Laurence Carassus ()
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Romain Blanchard: LMR - Laboratoire de Mathématiques de Reims - URCA - Université de Reims Champagne-Ardenne - CNRS - Centre National de la Recherche Scientifique
Laurence Carassus: DVRC - De Vinci Research Center - DVHE - De Vinci Higher Education, URCA - Université de Reims Champagne-Ardenne

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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.

Date: 2018-06
Note: View the original document on HAL open archive server: https://hal.science/hal-01883787v1
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Published in The Annals of Applied Probability, 2018, 28 (3), pp.1856-1892. ⟨10.1214/17-aap1346⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01883787

DOI: 10.1214/17-aap1346

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