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Robust Optimal Investment in Discrete Time for Unbounded Utility Function

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  • Laurence Carassus
  • Romain Blanchard

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.

Suggested Citation

  • Laurence Carassus & Romain Blanchard, 2016. "Robust Optimal Investment in Discrete Time for Unbounded Utility Function," Papers 1609.09205, arXiv.org, revised Oct 2017.
    • Handle: RePEc:arx:papers:1609.09205
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    File URL: http://arxiv.org/pdf/1609.09205
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    Cited by:

    1. Daniel Bartl & Samuel Drapeau & Ludovic Tangpi, 2017. "Computational aspects of robust optimized certainty equivalents and option pricing," Papers 1706.10186, arXiv.org, revised Mar 2019.
    2. Daniel Bartl & Patrick Cheridito & Michael Kupper, 2017. "Robust expected utility maximization with medial limits," Papers 1712.07699, arXiv.org, revised Nov 2018.

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