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arxiv: 1609.09205 · v3 · pith:GFS7WV2Tnew · submitted 2016-09-29 · 💱 q-fin.MF

Robust Optimal Investment in Discrete Time for Unbounded Utility Function

classification 💱 q-fin.MF
keywords utilityfunctionmodeloptimalunboundedunderargumentsconditions
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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.

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