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Maximization of recursive utilities under convex portfolio constraints
| Content Provider | Semantic Scholar |
|---|---|
| Author | Matoussi, Anis Mezghani, Hanen Mnif, Mohamed |
| Copyright Year | 2014 |
| 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. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://arxiv.org/pdf/1307.0872v3.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |