UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME
By Marcel Nutz. 2013
78 citations recorded by the source corpus.
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.
Subfields: Finance, General Decision Sciences, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/5f78e3245d30934e54002b80928fae6c3ff9b8d1
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In Finance
In General Decision Sciences
In Management Science and Operations Research
Citations in the corpus
- Exponential utility maximization under model uncertainty for unbounded endowments (2016, methodology): “More recently, there are two papers generalizing the result of [35].”