Robust Optimal Investment in Discrete Time for Unbounded Utility Function
Mathematical Finance
2017-10-03 v3
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.
Keywords
Cite
@article{arxiv.1609.09205,
title = {Robust Optimal Investment in Discrete Time for Unbounded Utility Function},
author = {Laurence Carassus and Romain Blanchard},
journal= {arXiv preprint arXiv:1609.09205},
year = {2017}
}