OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS-Reference-Cited by-同舟云学术

OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS

Published:2011-09 Issue:02n03 Volume:11 Page:283-299
ISSN:0219-4937
Container-title:Stochastics and Dynamics
language:en
Short-container-title:Stoch. Dyn.

Author:

CHERIDITO PATRICK¹,HU YING²

Affiliation:

1. Princeton University, Princeton, NJ 08544, USA

2. IRMAR, Université Rennes 1, 35042 Rennes Cedex, France

Abstract

We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We provide explicit solutions for investors with exponential, logarithmic as well as power utility and show that they are unique if the constraints are convex. Our approach is based on martingale methods that rely on results on the existence and uniqueness of solutions to BSDEs with drivers of quadratic growth.

Publisher

World Scientific Pub Co Pte Lt

Subject

Modelling and Simulation

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219493711003280

Reference10 articles.

1. On measure solutions of backward stochastic differential equations

2. BSDE with quadratic growth and unbounded terminal value

3. Quadratic BSDEs with convex generators and unbounded terminal conditions

4. Utility maximization in incomplete markets

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