Optimal investment and consumption under $g$- expected utility and general constraints in incomplete market
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866915126674718720 |
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| author | Faidi, Wahid |
| author_facet | Faidi, Wahid |
| contents | This article studies the problem of utility maximization in an incomplete market under a class of nonlinear expectations and general constraints on trading strategies. Using a $g$-martingale method, we provide an explicit solution to our optimization problem for different utility functions and characterize an optimal investment-consumption strategy through the solutions to quadratic BSDEs. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2501_17193 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Optimal investment and consumption under $g$- expected utility and general constraints in incomplete market Faidi, Wahid Mathematical Finance This article studies the problem of utility maximization in an incomplete market under a class of nonlinear expectations and general constraints on trading strategies. Using a $g$-martingale method, we provide an explicit solution to our optimization problem for different utility functions and characterize an optimal investment-consumption strategy through the solutions to quadratic BSDEs. |
| title | Optimal investment and consumption under $g$- expected utility and general constraints in incomplete market |
| topic | Mathematical Finance |
| url | https://arxiv.org/abs/2501.17193 |