5 papers
Super-replication prices with multiple-priors in discrete time
Romain Blanchard, Laurence Carassus
In the frictionless discrete time financial market of Bouchard and Nutz (2015), we propose a full characterization of the quasi-sure super-replication price: as the supremum of the…
No-arbitrage with multiple-priors in discrete time
Romain Blanchard, Laurence Carassus
In a discrete time and multiple-priors setting, we propose a new characterisation of the condition of quasi-sure no-arbitrage which has become a standard assumption. This character…
Convergence of utility indifference prices to the superreplication price in a multiple-priors framework
Romain Blanchard, Laurence Carassus
This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferenc…
Robust Optimal Investment in Discrete Time for Unbounded Utility Function
Laurence Carassus, Romain Blanchard
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. W…
Non-concave optimal investment and no-arbitrage: a measure theoretical approach
Romain Blanchard, Laurence Carassus, Miklós Rásonyi
We consider non-concave and non-smooth random utility functions with do- main of definition equal to the non-negative half-line. We use a dynamic pro- gramming framework together w…