2013/07/02 by Anis Matoussi, Matoussi, Anis, Hanen Mezghani +3
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #35B50 #60J60 #92E20 #Applied mathematics #Combinatorics #Computer science #Convex analysis #Convex optimization #Duality (order theory) #Economic theories and models #Economics #FOS: Economics and business #FOS: Mathematics #Finance #Mathematical analysis #Mathematical economics #Mathematical optimization #Mathematics #Maximization #Optimal control #Portfolio #Portfolio Management (q-fin.PM) #Probability (math.PR) #Quadratic equation #Regular polygon #Risk and Portfolio Optimization #Stochastic differential equation #Stochastic processes and financial applications #Terminal (telecommunication) #Uniqueness #Utility maximization #Utility maximization problem #math.PR #msc:35B50 #msc:60J60 #msc:92E20 #q-fin.PM
paper · pdf · doi:10.48550/arxiv.1307.0872
26 pages
openalex publication_date 2013/07/02 · arxiv created 2014/09/22 · arxiv updated 2014/09/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.