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Robust Optimal Investment in Discrete Time for Unbounded Utility Function. (arXiv:1609.09205v1 [q-fin.MF])

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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