Optimal consumption and investment in incomplete markets with general constraints
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Publication:3173989
DOI10.1142/S0219493711003280zbMATH Open1237.91202arXiv1010.0080OpenAlexW1926616175MaRDI QIDQ3173989FDOQ3173989
Publication date: 11 October 2011
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Abstract: We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with exponential, logarithmic and power utility. Our approach is based on martingale methods which rely on recent results on the existence and uniqueness of solutions to BSDEs with drivers of quadratic growth.
Full work available at URL: https://arxiv.org/abs/1010.0080
Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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- Adapted solution of a backward stochastic differential equation
- Quadratic BSDEs with convex generators and unbounded terminal conditions
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Cited In (38)
- Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints
- Robust Portfolio Choice and Indifference Valuation
- Consumption-portfolio optimization with recursive utility in incomplete markets
- Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff
- Epstein‐Zin utility maximization on a random horizon
- Investment optimization under constraints.
- Conditional Analysis on $$\mathbb {R}^d$$
- An Optimal Consumption Problem for General Factor Models
- Optimal consumption policies in illiquid markets
- The algebra of conditional sets and the concepts of conditional topology and compactness
- Indifference pricing and hedging in a multiple-priors model with trading constraints
- Pricing and hedging in incomplete markets with model uncertainty
- Consumption-investment strategies with non-exponential discounting and logarithmic utility
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Optimal Investment under Behavioral Criteria in Incomplete Diffusion Market Models
- Exponential utility maximization for an insurer with time-inconsistent preferences
- OPTIMAL PORTFOLIO AND CONSUMPTION FOR A MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION PROCESS
- Time-Inconsistent Consumption-Investment Problems in Incomplete Markets under General Discount Functions
- Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
- Optimal sharing rule for a household with a portfolio management problem
- Optimization problem under change of regime of interest rate
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Consumption and investment under constraints
- Optimal investment-consumption-insurance with random parameters
- Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1
- Mean field portfolio games with consumption
- Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach
- OPTIMAL CONTINGENT CLAIMS AND CONSUMPTION
- Optimal consumption-investment with constraints in a regime switching market with random coefficients
- Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems
- Consumption-investment optimization with Epstein-Zin utility in incomplete markets
- Optimal investment and consumption with labor income in incomplete markets
- Generalized Kuhn-Tucker conditions for \(N\)-firm stochastic irreversible investment under limited resources
- Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach
- Parameter-dependent stochastic optimal control in finite discrete time
- Measures and integrals in conditional set theory
- Optimal investment and consumption with forward preferences and uncertain parameters
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