Robust Utility Maximization Under Convex Portfolio Constraints

Journal Article · Wed Apr 15 00:00:00 EDT 2015 · Applied Mathematics and Optimization

DOI:https://doi.org/10.1007/S00245-014-9259-Z· OSTI ID:22469994

Matoussi, Anis ^[1]; Mezghani, Hanen; Mnif, Mohamed ^[2]

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1. Université du Maine, Risk and Insurance institut of Le Mans Laboratoire Manceau de Mathématiques (France)
2. University of Tunis El Manar, Laboratoire de Modélisation Mathématique et Numérique dans les Sciences de l’Ingénieur, ENIT (Tunisia)

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.

• OSTI ID: 22469994
• Journal Information: Applied Mathematics and Optimization, Vol. 71, Issue 2; Other Information: Copyright (c) 2015 Springer Science+Business Media New York; http://www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
• Country of Publication: United States
• Language: English

Related Subjects

71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
CALCULATION METHODS
DIFFERENTIAL EQUATIONS
DUALITY
LIMITING VALUES
MATHEMATICAL SOLUTIONS
OPTIMAL CONTROL
STOCHASTIC PROCESSES