Multiple-priors optimal investment in discrete time for unbounded utility function - Archive ouverte HAL
Article Dans Une Revue The Annals of Applied Probability 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

Citer

Romain Blanchard, Laurence Carassus. Multiple-priors optimal investment in discrete time for unbounded utility function. The Annals of Applied Probability, 2018, 28 (3), pp.1856-1892. ⟨10.1214/17-aap1346⟩. ⟨hal-01883787⟩
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