OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS

DOI10.1142/S0219493711003280zbMath1237.91202arXiv1010.0080MaRDI QIDQ3173989

Patrick Cheridito, Ying Hu

Publication date: 11 October 2011

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.0080

zbMATH Keywords

backward stochastic differential equation; expected utility; investment; consumption; stochastic constraint

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G10: Portfolio theory

Related Items

Optimal investment-consumption-insurance with random parameters, An Optimal Consumption Problem for General Factor Models, Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach, Time-Inconsistent Consumption-Investment Problems in Incomplete Markets under General Discount Functions, OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS, Robust Portfolio Choice and Indifference Valuation, The algebra of conditional sets and the concepts of conditional topology and compactness, Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints, Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach, Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems, Epstein‐Zin utility maximization on a random horizon, Consumption-investment strategies with non-exponential discounting and logarithmic utility, Consumption-investment optimization with Epstein-Zin utility in incomplete markets, Measures and integrals in conditional set theory, Parameter-dependent stochastic optimal control in finite discrete time, Pricing and hedging in incomplete markets with model uncertainty, Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs, Optimal sharing rule for a household with a portfolio management problem, Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff, Indifference pricing and hedging in a multiple-priors model with trading constraints, Exponential utility maximization for an insurer with time-inconsistent preferences, Mean field portfolio games with consumption, Conditional Analysis on $$\mathbb {R}^d$$, Optimization problem under change of regime of interest rate

Cites Work

• Adapted solution of a backward stochastic differential equation
• On measure solutions of backward stochastic differential equations
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Continuous exponential martingales and BMO
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
• BSDE with quadratic growth and unbounded terminal value
• Utility maximization in incomplete markets