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Maximization of recursive utilities 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 (BSDE in short). We characterize the optimal control by using the duality method and deriving a dynamic maximum principle.
Year of publication:
2013-07
Authors: Matoussi, Anis ; Mezghani, Hanen ; Mnif, Mohamed
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010928941
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