Optimal investment and consumption under logarithmic utility and uncertainty model
Fuente:
arXiv
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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2022
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866909223693058048 |
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| author | Faidi, Wahid |
| author_facet | Faidi, Wahid |
| contents | We study a robust utility maximization problem in the case of an incomplete market and logarithmic utility with general stochastic constraints, not necessarily convex. Our problem is equivalent to maximizing of nonlinear expected logarithmic utility. We characterize the optimal solution using quadratic BSDE. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2211_05367 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Optimal investment and consumption under logarithmic utility and uncertainty model Faidi, Wahid Mathematical Finance We study a robust utility maximization problem in the case of an incomplete market and logarithmic utility with general stochastic constraints, not necessarily convex. Our problem is equivalent to maximizing of nonlinear expected logarithmic utility. We characterize the optimal solution using quadratic BSDE. |
| title | Optimal investment and consumption under logarithmic utility and uncertainty model |
| topic | Mathematical Finance |
| url | https://arxiv.org/abs/2211.05367 |