Utility Maximization under Model Uncertainty in Discrete Time

2013/07/13 by Marcel Nutz, Nutz, Marcel · 2 citations
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #49L20 #91B28 #93E20 #FOS: Economics and business #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1307.3597

openalex publication_date 2013/07/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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.

Citations

• Statistical Decision Functions

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