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 09:05, 5 March 2024

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Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions
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    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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