Robust Utility Maximization Under Convex Portfolio Constraints

被引：3

作者：

Matoussi, Anis ^{[1
]}

Mezghani, Hanen ^{[2
]}

Mnif, Mohamed ^{[2
]}

机构：

[1] Univ Maine, Risk & Insurance Inst, Le Mans Lab Manceau Math, F-72017 Le Mans, France

[2] Univ Tunis El Manar, ENIT, Lab Modelisat Math & Numer Sci Ingenieur, Tunis, Tunisia

来源：

APPLIED MATHEMATICS AND OPTIMIZATION | 2015年 / 71卷 / 02期

关键词：

Utility maximization; Backward stochastic differential equations; Recursive utility; Model uncertainty; Robust control; Maximum principle; Forward-backward system; CONSUMPTION;

D O I：

10.1007/s00245-014-9259-z

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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. We characterize the optimal control by using the duality method and deriving a dynamic maximum principle.

引用

页码：313 / 351

页数：39

共 50 条

[1] Robust Utility Maximization Under Convex Portfolio Constraints
Anis Matoussi
Hanen Mezghani
Mohamed Mnif
Applied Mathematics & Optimization, 2015, 71 : 313 - 351
[2] ON UTILITY MAXIMIZATION UNDER CONVEX PORTFOLIO CONSTRAINTS
Larsen, Kasper
Zitkovic, Gordan
ANNALS OF APPLIED PROBABILITY, 2013, 23 (02): : 665 - 692
[3] Utility Maximization with Convex Constraints and Partial Information
Jörn Sass
Acta Applicandae Mathematicae, 2007, 97 : 221 - 238
[4] Utility maximization with convex constraints and partial information
Sass, Joern
ACTA APPLICANDAE MATHEMATICAE, 2007, 97 (1-3) : 221 - 238
[5] UTILITY MAXIMIZATION IN A REGIME SWITCHING MODEL WITH CONVEX PORTFOLIO CONSTRAINTS AND MARGIN REQUIREMENTS: OPTIMALITY RELATIONS AND EXPLICIT SOLUTIONS
Heunis, Andrew J.
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2015, 53 (04) : 2608 - 2656
[6] Utility Maximization Under Trading Constraints with Discontinuous Utility
Bian, Baojun
Chen, Xinfu
Xu, Zuo Quan
SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2019, 10 (01): : 243 - 260
[7] Robust concave utility maximization over chance constraints
Wang, Shanshan
Mehrotra, Sanjay
Peng, Chun
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2025, 321 (03) : 800 - 813
[8] Utility maximization under capital growth constraints
Hellwig, K
Speckbacher, G
Wentges, P
JOURNAL OF MATHEMATICAL ECONOMICS, 2000, 33 (01) : 1 - 12
[9] MAXIMIZATION OF A CONVEX QUADRATIC FUNCTION UNDER LINEAR CONSTRAINTS
KONNO, H
MATHEMATICAL PROGRAMMING, 1976, 11 (02) : 117 - 127
[10] Adversarially Robust Submodular Maximization under Knapsack Constraints
Avdiukhin, Dmitrii
Mitrovic, Slobodan
Yaroslavtsev, Grigory
Zhou, Samson
KDD'19: PROCEEDINGS OF THE 25TH ACM SIGKDD INTERNATIONAL CONFERENCCE ON KNOWLEDGE DISCOVERY AND DATA MINING, 2019, : 148 - 156

← 1 2 3 4 5 →