Discrete time optimal investment under model uncertainty (2307.11919v2)

Abstract: We study a robust utility maximization problem in a general discrete-time frictionless market under quasi-sure no-arbitrage. The investor is assumed to have a random and concave utility function defined on the whole real-line. She also faces model ambiguity on her beliefs about the market, which is modeled through a set of priors. We prove the existence of an optimal investment strategy using only primal methods. For that we assume classical assumptions on the market and on the random utility function as asymptotic elasticity constraints. Most of our other assumptions are stated on a prior-by-prior basis and correspond to generally accepted assumptions in the literature on markets without ambiguity. We also propose a general setting including utility functions with benchmark for which our assumptions are easily checked.