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:
-
- Université du Maine, Risk and Insurance institut of Le Mans Laboratoire Manceau de Mathématiques (France)
- 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}
}
Other availability
Save to My Library
You must Sign In or Create an Account in order to save documents to your library.