Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions

DOI10.1137/130951245zbMath1326.49039OpenAlexW1464084674MaRDI QIDQ2945607

Andrew J. Heunis

Publication date: 14 September 2015

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/130951245

zbMATH Keywords

dual problemLagrange multiplierstochastic controlbackward stochastic differential equationutility maximizationconjugate dualityregime switching modelmargin requirementsfinite-state Markov chainconvex portfolio constraintexplicit optimal portfoliooptimality relationspower and logarithmic utilitytotally unhedgeable coefficients

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Duality theory (optimization) (49N15) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

Related Items (4)

Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements ⋮ Quadratic minimization with portfolio and intertemporal wealth constraints ⋮ Equilibrium strategies for time-inconsistent stochastic switching systems ⋮ Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics

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