Robust utility maximization under convex portfolio constraints
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Publication:2348619
DOI10.1007/s00245-014-9259-zzbMath1335.91066arXiv1307.0872MaRDI QIDQ2348619
Anis Matoussi, Mohammed Mnif, Hanen Mezghani
Publication date: 15 June 2015
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.0872
maximum principle; robust control; backward stochastic differential equations; utility maximization; model uncertainty; recursive utility; forward-backward system
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
91G10: Portfolio theory