Comparison principle approach to utility maximization

• Autorzy: Peter Imkeller , Victor Nzengang
• Języki publikacji: EN

Abstrakty

EN

We consider the problem of optimal investment for maximal expected utility in an incomplete market with trading strategies subject to closed constraints. Under the assumption that the underlying utility function has constant sign, we employ the comparison principle for BSDEs to construct a family of supermartingales leading to a necessary and sufficient condition for optimality. As a consequence, the value function is characterized as the initial value of a BSDE with Lipschitz growth.

Kategorie tematyczne

• 91G10: Portfolio theory
• 93E03: Stochastic systems, general
• 93E20: Optimal stochastic control
• 60G44: Martingales with continuous parameter
• 60H15: Stochastic partial differential equations
• 60H07: Stochastic calculus of variations and the Malliavin calculus

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2015
• Tom: 105
• Numer: 1
• Strony: 143-158

Daty

wydano

2015

Twórcy

autor

Peter Imkeller

• Institut für Mathematik, Humboldt-Universität zu Berlin, Unter den Linden 6, D-10099 Berlin, Germany

autor

Victor Nzengang

• Institut für Mathematik, Humboldt-Universität zu Berlin, Unter den Linden 6, D-10099 Berlin, Germany

Identyfikatory

DOI

10.4064/bc105-0-10