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Title: Robust Utility Maximization Under Convex Portfolio Constraints

Abstract

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.

Authors:
 [1]; ;  [2]
  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)
Publication Date:
OSTI Identifier:
22469994
Resource Type:
Journal Article
Journal Name:
Applied Mathematics and Optimization
Additional Journal Information:
Journal Volume: 71; Journal 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); Journal ID: ISSN 0095-4616
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; CALCULATION METHODS; DIFFERENTIAL EQUATIONS; DUALITY; LIMITING VALUES; MATHEMATICAL SOLUTIONS; OPTIMAL CONTROL; STOCHASTIC PROCESSES

Citation Formats

Matoussi, Anis, Mezghani, Hanen, and Mnif, Mohamed. Robust Utility Maximization Under Convex Portfolio Constraints. United States: N. p., 2015. Web. doi:10.1007/S00245-014-9259-Z.
Matoussi, Anis, Mezghani, Hanen, & Mnif, Mohamed. Robust Utility Maximization Under Convex Portfolio Constraints. United States. https://doi.org/10.1007/S00245-014-9259-Z
Matoussi, Anis, Mezghani, Hanen, and Mnif, Mohamed. 2015. "Robust Utility Maximization Under Convex Portfolio Constraints". United States. https://doi.org/10.1007/S00245-014-9259-Z.
@article{osti_22469994,
title = {Robust Utility Maximization Under Convex Portfolio Constraints},
author = {Matoussi, Anis and Mezghani, Hanen and Mnif, Mohamed},
abstractNote = {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.},
doi = {10.1007/S00245-014-9259-Z},
url = {https://www.osti.gov/biblio/22469994}, journal = {Applied Mathematics and Optimization},
issn = {0095-4616},
number = 2,
volume = 71,
place = {United States},
year = {Wed Apr 15 00:00:00 EDT 2015},
month = {Wed Apr 15 00:00:00 EDT 2015}
}