Multiple-priors optimal investment in discrete time for unbounded utility function
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Publication:1661573
DOI10.1214/17-AAP1346zbMATH Open1411.91484arXiv1609.09205OpenAlexW3123586465WikidataQ129738619 ScholiaQ129738619MaRDI QIDQ1661573FDOQ1661573
Romain Blanchard, Laurence Carassus
Publication date: 16 August 2018
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: 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.
Full work available at URL: https://arxiv.org/abs/1609.09205
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Cited In (17)
- Arbitrage-free modeling under Knightian uncertainty
- Markov decision processes under model uncertainty
- Robust utility maximization with nonlinear continuous semimartingales
- A conditional version of the second fundamental theorem of asset pricing in discrete time
- Nonconcave robust optimization with discrete strategies under Knightian uncertainty
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- Conditional nonlinear expectations
- Robust expected utility maximization with medial limits
- Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework
- Utility Maximization with Proportional Transaction Costs Under Model Uncertainty
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- On utility maximization under model uncertainty in discrete‐time markets
- Exponential utility maximization under model uncertainty for unbounded endowments
- The Robust Superreplication Problem: A Dynamic Approach
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