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
收藏
页码：313 / 351
页数：39
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