Robust Utility Maximization Under Convex Portfolio Constraints

被引：3

作者：

Matoussi, Anis ^{[1
]}

Mezghani, Hanen ^{[2
]}

Mnif, Mohamed ^{[2
]}

机构：

[1] Univ Maine, Risk & Insurance Inst, Le Mans Lab Manceau Math, F-72017 Le Mans, France

[2] Univ Tunis El Manar, ENIT, Lab Modelisat Math & Numer Sci Ingenieur, Tunis, Tunisia

来源：

APPLIED MATHEMATICS AND OPTIMIZATION | 2015年 / 71卷 / 02期

关键词：

Utility maximization; Backward stochastic differential equations; Recursive utility; Model uncertainty; Robust control; Maximum principle; Forward-backward system; CONSUMPTION;

D O I：

10.1007/s00245-014-9259-z

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study a robust maximization problem from terminal wealth and consumption under a convex constraints on the portfolio. We state the existence and the uniqueness of the consumption-investment strategy by studying the associated quadratic backward stochastic differential equation. We characterize the optimal control by using the duality method and deriving a dynamic maximum principle.

引用

页码：313 / 351

页数：39