Optimal consumption and investment in incomplete markets with general constraints

By Patrick Cheridito, Ying Hu. 2010

46 citations recorded by the source corpus.

We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with exponential, logarithmic and power utility. Our approach is based on martingale methods which rely on recent results on the existence and uniqueness of solutions to BSDEs with drivers of quadratic growth.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/087b15293c6fc21aff2b4f6019634b6a8283d89b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Martin Karliczek
2. Michael Kupper
3. Yang Shen
4. Samuel Drapeau
5. Jiaqin Wei
6. Asgar Jamneshan

In Finance

1. Martin Karliczek
2. Michael Kupper
3. Yang Shen
4. Samuel Drapeau
5. Jiaqin Wei
6. Asgar Jamneshan

In Management Science and Operations Research

1. Martin Karliczek
2. Michael Kupper
3. Yang Shen
4. Samuel Drapeau
5. Jiaqin Wei
6. Asgar Jamneshan

Citations in the corpus

• Optimal investment-consumption-insurance with random parameters (2016, background): “Please see Lim & Zhou (2002) and Lim (2004) for mean-variance problems, Cheridito & Hu (2011) and Rieder & Wopperer (2012) for investment-consumption problems.”
• The algebra of conditional sets and the concepts of conditional topology and compactness (2013, methodology): “[9], to utility maximization in Cheridito and Hu [3] and to backward stochastic differential equations in Cheridito and Stadje [4].”