Maximization of recursive utilities under convex portfolio constraints
Probability
2014-09-23 v3 Portfolio Management
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 (BSDE in short). We characterize the optimal control by using the duality method and deriving a dynamic maximum principle.
Keywords
Cite
@article{arxiv.1307.0872,
title = {Maximization of recursive utilities under convex portfolio constraints},
author = {Anis Matoussi and Hanen Mezghani and Mohamed Mnif},
journal= {arXiv preprint arXiv:1307.0872},
year = {2014}
}
Comments
26 pages