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Optimal investment and consumption under logarithmic utility and uncertainty model

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  • Wahid Faidi

Abstract

We study a robust utility maximization problem in the case of an incomplete market and logarithmic utility with general stochastic constraints, not necessarily convex. Our problem is equivalent to maximizing of nonlinear expected logarithmic utility. We characterize the optimal solution using quadratic BSDE.

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  • Wahid Faidi, 2022. "Optimal investment and consumption under logarithmic utility and uncertainty model," Papers 2211.05367, arXiv.org, revised Jun 2024.
    • Handle: RePEc:arx:papers:2211.05367
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