MULTIPLE-PRIORS OPTIMAL INVESTMENT IN DISCRETE TIME FOR UNBOUNDED UTILITY FUNCTION

• 成果类型: Article
• 署名作者: Blanchard, Romain; Carassu, Laurence
• 署名单位: Universite de Reims Champagne-Ardenne
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/17-AAP1346
• 发表日期: 2018
• 页码: 1856-1892
• 关键词: model uncertainty; maximization; Duality

摘要

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.