pith. sign in

arxiv: 1307.0872 · v3 · pith:RCJ5OXIGnew · submitted 2013-07-02 · 🧮 math.PR · q-fin.PM

Maximization of recursive utilities under convex portfolio constraints

classification 🧮 math.PR q-fin.PM
keywords constraintsconvexmaximizationportfoliounderassociatedbackwardbsde
0
0 comments X
read the original 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.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.