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Exponential utility maximization under model uncertainty for unbounded endowments

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  • Daniel Bartl

Abstract

We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of non-dominated probabilistic models of her endowment by dynamically investing in a financial market. We show that, for any measurable random endowment (regardless of whether the problem is finite or not) an optimal strategy exists, a dual representation in terms of martingale measures holds true, and that the problem satisfies the dynamic programming principle.

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  • Daniel Bartl, 2016. "Exponential utility maximization under model uncertainty for unbounded endowments," Papers 1610.00999, arXiv.org, revised Jun 2017.
  • Handle: RePEc:arx:papers:1610.00999
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    References listed on IDEAS

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    Cited by:

    1. Huy N. Chau & Miklos Rasonyi, 2018. "Robust utility maximization in markets with transaction costs," Papers 1803.04213, arXiv.org, revised Dec 2018.
    2. Daniel Bartl, 2016. "Conditional nonlinear expectations," Papers 1612.09103, arXiv.org, revised Nov 2017.
    3. Daniel Bartl & Michael Kupper & David J. Promel & Ludovic Tangpi, 2017. "Duality for pathwise superhedging in continuous time," Papers 1705.02933, arXiv.org, revised Sep 2017.
    4. Mikl'os R'asonyi & Andrea Meireles-Rodrigues, 2018. "On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets," Papers 1801.06860, arXiv.org, revised Feb 2018.

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