MULTIPLE-PRIORS OPTIMAL INVESTMENT IN DISCRETE TIME FOR UNBOUNDED UTILITY FUNCTION - Université de Reims Champagne-Ardenne Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2018

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

Résumé

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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Dates et versions

hal-01883787 , version 1 (28-09-2018)

Identifiants

  • HAL Id : hal-01883787 , version 1

Citer

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

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