Dynamic convex duality in constrained utility maximization
From MaRDI portal
Publication:5086461
DOI10.1080/17442508.2018.1480023zbMath1498.91185arXiv1612.04407OpenAlexW2587544085MaRDI QIDQ5086461
Publication date: 5 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.04407
Nonconvex programming, global optimization (90C26) Optimality conditions and duality in mathematical programming (90C46) Utility theory (91B16) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (3)
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation ⋮ Deep learning for constrained utility maximisation ⋮ Effective approximation methods for constrained utility maximization with drift uncertainty
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Forward-backward systems for expected utility maximization
- A variational problem arising in financial economics
- Continuous-time stochastic control and optimization with financial applications
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
- Convex duality in constrained portfolio optimization
- A selection theorem for optimization problems
- Conjugate convex functions in optimal stochastic control
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Turnpike property and convergence rate for an investment model with general utility functions
- A General Stochastic Maximum Principle for Optimal Control Problems
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Optimization Problems in the Theory of Continuous Trading
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal
- Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
- Conjugate duality in problems of constrained utility maximization
- Forward Backward Semimartingale Systems for Utility Maximization
This page was built for publication: Dynamic convex duality in constrained utility maximization
