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arXiv · 1307.0872

Maximization of recursive utilities under convex portfolio constraints

Anis Matoussi·Hanen Mezghani·Mohamed Mnif
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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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Anis Matoussi, Hanen Mezghani, Mohamed Mnif. 2014-09-22. Maximization of recursive utilities under convex portfolio constraints. https://arxiv.org/abs/1307.0872

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