Optimal investment and consumption under logarithmic utility and uncertainty model

2022/11/10 by Wahid Faidi, Faidi, Wahid
Decision Sciences · Economics, Econometrics and Finance · #Economic theories and models #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Monetary Policy and Economic Impact #Risk and Portfolio Optimization

paper · pdf · doi:10.48550/arxiv.2211.05367

openalex publication_date 2022/11/10 · openalex created_date 2022/11/16 · openalex updated_date 2026/07/28

Abstract

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.

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