PORTFOLIO OPTIMIZATION UNDER NONLINEAR UTILITY

DOI10.1142/S0219024916500291zbMath1396.91689arXiv1504.03931OpenAlexW835759180MaRDI QIDQ2816959

Ludovic Tangpi, Michael Kupper, Gregor Heyne

Publication date: 26 August 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.03931

zbMATH Keywords

convex dualityutility maximizationsubmartingalesubsolutions of BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)

Related Items

Characterization of fully coupled FBSDE in terms of portfolio optimization ⋮ Maximum principle for stochastic control of SDEs with measurable drifts ⋮ Solvability of coupled FBSDEs with diagonally quadratic generators ⋮ Multidimensional Markovian FBSDEs with super-quadratic growth ⋮ Strong solutions of forward-backward stochastic differential equations with measurable coefficients

Cites Work

• Dual representation of minimal supersolutions of convex BSDEs
• Continuous exponential martingales and BMO
• A dynamic maximum principle for the optimization of recursive utilities under constraints.
• Minimal supersolutions of BSDEs with lower semicontinuous generators
• Robust Utility Maximization without Model Compactness
• Variational Analysis
• Convex Analysis
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: PORTFOLIO OPTIMIZATION UNDER NONLINEAR UTILITY