Maximization of recursive utilities under convex portfolio constraints
classification
🧮 math.PR
q-fin.PM
keywords
constraintsconvexmaximizationportfoliounderassociatedbackwardbsde
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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.
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