UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME

UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME

We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case, integrability conditions are needed as nonexistence may arise...

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Veröffentlicht in:Mathematical finance 2016-04, Vol.26 (2), p.252-268
1. Verfasser: Nutz, Marcel
Format: Artikel
Sprache:eng
Schlagworte:
Economic models
Economic theory
Knightian uncertainty
nondominated model
Studies
United States
utility maximization
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Beschreibung
Zusammenfassung:We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case, integrability conditions are needed as nonexistence may arise even if the value function is finite.
ISSN:0960-1627
1467-9965
DOI:10.1111/mafi.12068