Robust Utility Maximization Under Convex Portfolio Constraints

Robust Utility Maximization Under Convex Portfolio Constraints 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Robust Utility Maximization Under Convex Portfolio Constraints

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Publisher
Springer US
Copyright
Copyright © 2015 by Springer Science+Business Media New York
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-014-9259-z
Publisher site
See Article on Publisher Site

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.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Apr 1, 2015

References

  • A quartet of semigroups for model specification, robustness, prices of risk and model detection
    Anderson, E; Hansen, LP; Sargent, T

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