pith. sign in

arxiv: 1010.0080 · v2 · pith:42UQQQFQnew · submitted 2010-10-01 · 💱 q-fin.PM · math.PR

Optimal consumption and investment in incomplete markets with general constraints

classification 💱 q-fin.PM math.PR
keywords constraintsconsumptiongeneralincompleteinvestmentoptimalsolutionsapproach
0
0 comments X
read the original abstract

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.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.