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June 2018 Multiple-priors optimal investment in discrete time for unbounded utility function
Romain Blanchard, Laurence Carassus
Ann. Appl. Probab. 28(3): 1856-1892 (June 2018). DOI: 10.1214/17-AAP1346

Abstract

This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under nondominated 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.

Citation

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Romain Blanchard. Laurence Carassus. "Multiple-priors optimal investment in discrete time for unbounded utility function." Ann. Appl. Probab. 28 (3) 1856 - 1892, June 2018. https://doi.org/10.1214/17-AAP1346

Information

Received: 1 October 2016; Revised: 1 May 2017; Published: June 2018
First available in Project Euclid: 1 June 2018

zbMATH: 06919740
MathSciNet: MR3809479
Digital Object Identifier: 10.1214/17-AAP1346

Subjects:
Primary: 91B16 , 91B70 , 93E20
Secondary: 28B20 , 49L20 , 91G10

Keywords: Knightian uncertainty , multiple-priors , nondominated model , optimal investment

Rights: Copyright © 2018 Institute of Mathematical Statistics

Vol.28 • No. 3 • June 2018
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