Utility maximization under model uncertainty in discrete time (Q2799995)
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scientific article; zbMATH DE number 6568853
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| English | Utility maximization under model uncertainty in discrete time |
scientific article; zbMATH DE number 6568853 |
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14 April 2016
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utility maximization
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Knightian uncertainty
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nondominated model
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Utility maximization under model uncertainty in discrete time (English)
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This paper establishes the existence of an optimal portfolio in a general discrete-time model with uncertainty about the underlying probabilistic model. A key feature is that the scenario set of possible probability measures need not be dominated by a single reference model. Existence of the optimizer is shown under a notion of no-arbitrage introduced in [\textit{B. Bouchard} and \textit{M. Nutz}, Ann. Appl. Probab. 25, No. 2, 823--859 (2015; Zbl 1322.60045)] for a utility function bounded from above. A counterexample illustrates that additional integrability assumptions are needed to obtain existence in the unbounded case.
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