Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions (Q2945607): Difference between revisions
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Revision as of 00:06, 22 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions |
scientific article |
Statements
Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions (English)
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14 September 2015
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stochastic control
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utility maximization
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convex portfolio constraint
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margin requirements
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regime switching model
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finite-state Markov chain
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conjugate duality
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dual problem
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optimality relations
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Lagrange multiplier
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power and logarithmic utility
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totally unhedgeable coefficients
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explicit optimal portfolio
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backward stochastic differential equation
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