MULTIPLE-PRIORS OPTIMAL INVESTMENT IN DISCRETE TIME FOR UNBOUNDED UTILITY FUNCTION

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.
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https://hal.archives-ouvertes.fr/hal-01883787
Contributor : Romain Blanchard <>
Submitted on : Friday, September 28, 2018 - 4:47:24 PM
Last modification on : Friday, October 5, 2018 - 1:15:24 AM
Long-term archiving on : Monday, December 31, 2018 - 11:04:29 AM

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Romain Blanchard, Laurence Carassus. MULTIPLE-PRIORS OPTIMAL INVESTMENT IN DISCRETE TIME FOR UNBOUNDED UTILITY FUNCTION. 2018. ⟨hal-01883787⟩

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