OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS

作者：Patrick Cheridito, Ying Hu · 发表于：Stochastics and Dynamics · 年份：2011 · DOI：10.1142/s0219493711003280 · 被引用次数：51 · 研究领域：Stochastic processes and financial applications、Economic theories and models、Risk and Portfolio Optimization

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