Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions
DOI10.1137/130951245zbMath1326.49039OpenAlexW1464084674MaRDI QIDQ2945607
Publication date: 14 September 2015
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/130951245
dual problemLagrange multiplierstochastic controlbackward stochastic differential equationutility maximizationconjugate dualityregime switching modelmargin requirementsfinite-state Markov chainconvex portfolio constraintexplicit optimal portfoliooptimality relationspower and logarithmic utilitytotally unhedgeable coefficients
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Duality theory (optimization) (49N15) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)
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Cites Work
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