Robust utility maximization under convex portfolio constraints

DOI10.1007/S00245-014-9259-ZzbMATH Open1335.91066arXiv1307.0872OpenAlexW2022359666MaRDI QIDQ2348619FDOQ2348619

Authors: Hanen Mezghani, Mohamed Mnif, Anis Matoussi 

Publication date: 15 June 2015

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1307.0872

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zbMATH Keywords

model uncertaintymaximum principlebackward stochastic differential equationsrecursive utilityrobust controlutility maximizationforward-backward system

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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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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