Robust Utility Maximization Under Convex Portfolio Constraints

被引：0
|
作者：
Anis Matoussi
Hanen Mezghani
Mohamed Mnif
机构：
[1] Université du Maine,Risk and Insurance institut of Le Mans Laboratoire Manceau de Mathématiques
[2] University of Tunis El Manar,Laboratoire de Modélisation Mathématique et Numérique dans les Sciences de l’Ingénieur, ENIT
来源：
Applied Mathematics & Optimization | 2015年 / 71卷
关键词：
Utility maximization; Backward stochastic differential equations; Recursive utility; Model uncertainty; Robust control; Maximum principle; Forward–backward system; 92E20; 60J60; 35B50;
D O I：
暂无
中图分类号：
学科分类号：
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.
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页码：313 / 351
页数：38
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