Optimal consumption and investment in incomplete markets with general constraints
Portfolio Management
2010-12-07 v2 Probability
Abstract
We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with exponential, logarithmic and power utility. Our approach is based on martingale methods which rely on recent results on the existence and uniqueness of solutions to BSDEs with drivers of quadratic growth.
Keywords
Cite
@article{arxiv.1010.0080,
title = {Optimal consumption and investment in incomplete markets with general constraints},
author = {Patrick Cheridito and Ying Hu},
journal= {arXiv preprint arXiv:1010.0080},
year = {2010}
}