Multiple-priors optimal investment in discrete time for unbounded utility function

Romain Blanchard · Laurence Carassus

24 citations0/0 files storedThe Annals of Applied Probability

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

Abstract

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.

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1989Maxmin expected utility with non-unique prior 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets 1995Pricing and hedging derivative securities in markets with uncertain volatilities 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths 1995Uncertain volatility and the risk-free synthesis of derivatives 2006A theoretical framework for the pricing of contingent claims in the presence of model uncertainty 2002Stochastic Finance 2001Optimal investment in incomplete markets when wealth may become negative

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