Work

Multiple-priors optimal investment in discrete time for unbounded utility function

Year: 2018

Type: article

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.

Source: The Annals of Applied Probability

DOI: 10.1214/17-aap1346

Authors: Romain Blanchard, Laurence Carassus

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2805047625

FWCI: 4.961

Cites: 26

Cited by: 24

Related to: 10