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Expected Utility Maximization Problem Under State Constraints and Model Uncertainty

Author

Listed:
  • Wahid Faidi

    (College of Science and Humanities, Shaqra University)

  • Hanen Mezghanni

    (University of Tunis El Manar, LAMSIN)

  • Mohamed Mnif

    (University of Tunis El Manar, ENIT-LAMSIN)

Abstract

We study a general robust utility maximization problem from terminal wealth and consumption under state constraints. Our framework includes financial models with constrained portfolios, labor income and large investor models. We state the existence and the uniqueness of the consumption–investment strategy by studying the associated quadratic backward stochastic differential equation. We characterize the optimal control by using the duality method and deriving a dynamic maximum principle.

Suggested Citation

  • Wahid Faidi & Hanen Mezghanni & Mohamed Mnif, 2019. "Expected Utility Maximization Problem Under State Constraints and Model Uncertainty," Journal of Optimization Theory and Applications, Springer, vol. 183(3), pages 1123-1152, December.
    • Handle: RePEc:spr:joptap:v:183:y:2019:i:3:d:10.1007_s10957-019-01583-y
    DOI: 10.1007/s10957-019-01583-y
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    References listed on IDEAS

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    Cited by:

    1. Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2020. "Robust Portfolio Optimization with Multi-Factor Stochastic Volatility," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 264-298, July.
    2. Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2019. "Robust portfolio optimization with multi-factor stochastic volatility," Papers 1910.06872, arXiv.org, revised Jun 2020.

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