Portfolio optimization under nonlinear utility
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Abstract: This paper studies the utility maximization problem of an agent with non-trivial endowment, and whose preferences are modeled by the maximal subsolution of a BSDE. We prove existence of an optimal trading strategy and relate our existence result to the existence of a maximal subsolution to a controlled decoupled FBSDE. Using BSDE duality, we show that the utility maximization problem can be seen as a robust control problem admitting a saddle point if the generator of the BSDE additionally satisfies a specific growth condition. We show by convex duality that any saddle point of the robust control problem agrees with a primal and a dual optimizer of the utility maximization problem, and can be characterized in terms of a BSDE solution.
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Cited in
(22)- A note on portfolio optimization with path-dependent utility
- Multidimensional Markovian FBSDEs with super-quadratic growth
- Spin glasses and nonlinear constraints in portfolio optimization
- Strong solutions of forward-backward stochastic differential equations with measurable coefficients
- Portfolio optimization under safety first expected utility with nonlinear probability distortion
- Characterization of fully coupled FBSDE in terms of portfolio optimization
- Utility maximization via decoupling fields
- Nonmyopic optimal portfolios in viable markets
- FBSDE approach to utility portfolio selection in a market with random parameters
- Optimization of investment returns with N-step utility functions
- Portfolio optimization under model uncertainty and BSDE games
- scientific article; zbMATH DE number 2110050 (Why is no real title available?)
- Nonlinear optimization problem of interdependent investment projects portfolio
- Nonlinear price impact and portfolio choice
- Additive portfolio improvement and utility-efficient payoffs
- Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500
- Robust utility maximization in nondominated models with 2BSDE: the uncertain volatility model
- Robust portfolio choice and indifference valuation
- Solvability of coupled FBSDEs with diagonally quadratic generators
- Maximum principle for stochastic control of SDEs with measurable drifts
- A deep learning method for optimal investment under relative performance criteria among heterogeneous agents
- Optimal investment and reinsurance of insurers with a nonlinear stochastic factor model
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