Robust utility maximization under convex portfolio constraints
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Publication:2348619
Abstract: 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 (BSDE in short). We characterize the optimal control by using the duality method and deriving a dynamic maximum principle.
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Cited in
(14)- Expected utility maximization problem under state constraints and model uncertainty
- G-expected utility maximization with ambiguous equicorrelation
- Robust optimal control for a consumption-investment problem
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
- Robust utility maximization in a stochastic factor model
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- Portfolio optimization under nonlinear utility
- Robust portfolio optimization: a conic programming approach
- On utility maximization under convex portfolio constraints
- Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
- Robust consumption portfolio optimization with stochastic differential utility
- Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse
- Dynamic convex duality in constrained utility maximization
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