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
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
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