Utility Maximization under Model Uncertainty in Discrete Time
Portfolio Management
2013-07-16 v1 Optimization and Control
Probability
Abstract
We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case, integrability conditions are needed as nonexistence may arise even if the value function is finite.
Keywords
Cite
@article{arxiv.1307.3597,
title = {Utility Maximization under Model Uncertainty in Discrete Time},
author = {Marcel Nutz},
journal= {arXiv preprint arXiv:1307.3597},
year = {2013}
}
Comments
18 pages